Calculate the yield for a treasury bill. Excel: TBILLYIELD

Contents

Interface Function Documentation Page Comments

Interface

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

using namespace Finance::Banking;

	double	billYield (int sett, int mat, double price) Calculate the yield for a treasury bill. Excel: TBILLYIELD
	Real	cc_billYield (Integer sett, Integer mat, Real price) This function is available as a Microsoft Excel add-in.

Function Documentation

This function calculates the yield for a treasury bill. It is equivalent to the Microsoft Excel function TBILLYIELD. The following equation is used to calculate the result:

Where: yield is the yield of the treasury bill, pr is the price per 100 (currency units) face value, and DSM is the number of days from settlement to maturity.

Example:

#include <iostream>
 
#include <codecogs/units/date/date.h>
#include <codecogs/units/date/dateymd.h>
#include <codecogs/finance/banking/billyield.h>
 
int main()
{
  int settDate=Units::Date::date(1999, 3, 31);
  int maturityDate=Units::Date::date(1999, 6, 1);
  double yield=Finance::Banking::billYield(settDate, maturityDate, 98.45);
  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("bill yield=%f\n", yield);
 
  return 1;
}

Output:

settlement=1999/3/31
maturity=1999/6/1
bill yield=0.091417

References:

Microsoft Excel help file

This is the date after issue when the treasury bill is traded to the buyer.

Julian date. This is the date when the treasury bill expires.

(expressed in the appropriate currency units).

Note:

maturity dates more than 1 yeaer after the settlement date cause an error message to be issued.

Parameters:

sett	The settlement date, expressed as a serial Julian date.
mat	The maturity date of the settlement, expressed as a serial
price	The price per 100 face value of the treasury bill

Returns:

The yield of the treasury bill.

Authors:

James Warren (August 2005)