Function TreasuryBillPrice(SettlementDate, MaturityDate, DiscountRate)

TreasuryBillPrice

The function TreasuryBillPrice returns the price of a Treasury bill at settlement date. A Treasury bill is a discounted security with less than one year from settlement until maturity, the number of days in one year is fixed at 360 and redemption is fixed at 100.

TreasuryBillPrice(
    SettlementDate,           ! (input) scalar string expression
    MaturityDate,             ! (input) scalar string expression
    DiscountRate              ! (input) numerical expression
    )

Arguments

SettlementDate

The date of settlement of the security. SettlementDate must be given in a date format.

MaturityDate

The date of maturity of the security. MaturityDate must also be in date format and must be a date after SettlementDate.

DiscountRate

The discount rate of the security as a fraction of the redemption. DiscountRate must be a positive real number.

Return Value

The function TreasuryBillPrice returns the price of a Treasury bill at settlement date.

Note

  • This function can be used in an objective function or constraint and the input parameter DiscountRate can be used as a variable.

  • The function TreasuryBillPrice is similar to the Excel function TBILLPRICE.

Example

Half a year, 10%, what does this do?

_p_tbp := TreasuryBillPrice(
        SettlementDate :  "2024-07-01",
        MaturityDate   :  "2025-01-01",
        DiscountRate   :  0.1);
block where single_column_display := 1, listing_number_precision := 6 ;
        display _p_tbp ;
endblock ;

Well:

_p_tbp := 94.888889 ;

References

  • General equations for discounted securities.