Documentation/How Tos/Calc: TBILLEQ function

TBILLEQ

Returns the bond-equivalent-yield (BEY) for a US Treasury bill.

Syntax:

TBILLEQ(settlementdate; maturitydate; discount)

settlementdate: the settlement (purchase) date of the Treasury bill.

maturitydate: the maturity (redemption) date of the Treasury bill.

discountrate: the discount rate of the Treasury bill.

A Treasury bill is a short term (up to a year) Government security, sold at a discount to its par value (face value). It pays no interest and is redeemed at par value.

This function calculates the yield that a bond would need, in order to provide growth equivalent to the Treasury bill. The bond considered assumes 365 days in the year, and pays interest only at the end of the term (ie interest is not compounded).

The Treasury bill has a 360 day year basis.

The formula for TBILLEQ is :

365 * discountrate / (360 - discountrate * number_of_days_in_the_term)

where number_of_days_in_the_term are the actual number of days between settlementdate and maturitydate.

An error results if the term given is not less than one year.

Example:

TBILLEQ("2008-07-14"; "2009-01-14"; 4%)

returns approximately 0.0414, or 4.14%.

See also:

TBILLPRICE, TBILLYIELD

Financial functions

Issues:

• This function may assist with US Treasury bills if used carefully. The underlying formula may not apply to Treasury bills issued by other governments.