# tbillprice

Price Treasury bill

## Syntax

``Price = tbillprice(Rate,Settle,Maturity)``
``Price = tbillprice(___,Type)``

## Description

````Price = tbillprice(Rate,Settle,Maturity)` computes the price of a Treasury bill given a yield or discount rate.```

example

````Price = tbillprice(___,Type)` adds an optional argument for `Type`. ```

example

## Examples

collapse all

Given a Treasury bill with the following characteristics, compute the price of the Treasury bill using the bond-equivalent yield (`Type` = `2`) as input.

```Rate = 0.045; Settle = '01-Oct-02'; Maturity = '31-Mar-03'; Type = 2; Price = tbillprice(Rate, Settle, Maturity, Type)```
```Price = 97.8172 ```

Use `tbillprice` to price a portfolio of Treasury bills.

```Rate = [0.045; 0.046]; Settle = {'02-Jan-02'; '01-Mar-02'}; Maturity = {'30-June-02'; '30-June-02'}; Type = [2 3]; Price = tbillprice(Rate, Settle, Maturity, Type)```
```Price = 2×1 97.8408 98.4539 ```

Use `tbillprice` to price a portfolio of Treasury bills using `datetime` input.

```Rate = [0.045; 0.046]; Type = [2 3]; Settle = [datetime(2002,1,2);datetime(2002,3,1)]; Maturity = [datetime(2002,6,30);datetime(2002,6,30)]; Price = tbillprice(Rate, Settle, Maturity, Type)```
```Price = 2×1 97.8408 98.4539 ```

## Input Arguments

collapse all

Bond-equivalent yield, money-market yield, or discount rate (defined by the input `Type`), specified as a scalar of a `NTBILLS`-by-`1` vector of decimal values.

Data Types: `double`

Settlement date of the Treasury bill, specified as a scalar or a `NTBILLS`-by-`1` vector using a datetime array, string array, or date character vectors.

To support existing code, `tbillprice` also accepts serial date numbers as inputs, but they are not recommended.

Data Types: `char` | `string` | `datetime`

Maturity date of the Treasury bill, specified as a scalar or a `NTBILLS`-by-`1` vector using a datetime array, string array, or date character vectors.

To support existing code, `tbillprice` also accepts serial date numbers as inputs, but they are not recommended.

Data Types: `char` | `string` | `datetime`

Rate type (determines how to interpret values entered in `Rate`), specified as a numeric value of `1`,`2`, or `3` using a scalar or a `NTBILLS`-by-`1` vector.

Note

The bond-equivalent yield basis is actual/365. The money-market yield basis is actual/360. The discount rate basis is actual/360.

Data Types: `double`

## Output Arguments

collapse all

Treasury bill prices for every \$100 face, returned as a `NTBILLS`-by-`1` vector.

## References

[1] SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest. Volume 1, 3rd edition, pp. 44–45.

[2] Krgin, D. Handbook of Global Fixed Income Calculations. Wiley, 2002.

[3] Stigum, M., Robinson, F. Money Market and Bond Calculation. McGraw-Hill, 1996.

## Version History

Introduced before R2006a

expand all