Interface

#include <codecogs/finance/banking/billbondequiv.h>

using namespace Finance::Banking;

	double	billBondEquiv (int sett, int mat, double rate) Return the bond-equivalent yield for a treasury bill. Excel: TBILLEQ
	Real	cc_billBondEquiv (Integer sett, Integer mat, Real rate) This function is available as a Microsoft Excel add-in.

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Function Documentation

This function calculates the bond-equivalent yield for a treasury bill. It does so using the following equation:

Where: rate is the discount rate, DSM is the number of days between settlement and maturity, computed according to the 360-day year basis. The actual date difference function used is dateDiff360, in dd_USA mode.

References:

Microsoft Excel help file

Example:

#include <iostream>
 
#include <codecogs/units/date/date.h>
#include <codecogs/finance/banking/yearlyfreq.h>
#include <codecogs/finance/banking/billbondequiv.h>
 
int
main(int argc, char *argv[])
{
  int settDate=Units::Date::date(1999, 3, 31);
  int maturityDate=Units::Date::date(1999, 6, 1);
 
  double yield=Finance::Banking::billBondEquiv(settDate,
                                               maturityDate,
                                               0.0914);
  int y, m, d;
  
  Units::Date::dateYMD(settDate, y, m, d);
  printf("settlement=%i/%i/%i\n", y, m, d);
  
  Units::Date::dateYMD(maturityDate, y, m, d);
  printf("maturity=%i/%i/%i\n", y, m, d);
  
  printf("bond equivalent yield=%f\n", yield);
 
  exit(EXIT_SUCCESS);
}

Output:

settlement=1999/3/31
maturity=1999/6/1
bond equivalent yield=0.094151

Parameters:

sett	The settlement date, expressed as a serial Julian date.
mat	The maturity date of the treasury bill, expressed as a serial Julian date.
rate

Returns:

The bond-equivalent yield of a treasury bill.

Authors:

James Warren (August 2005)

Source Code:

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