- 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 percentage 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 functionTBILLPRICE
.
See also
General equations for discounted securities.