financebanking

bill Yield

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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
Click for details on using CodeCogs in ExcelReal cc_billYield (Integer sett, Integer mat, Real price)
This function is available as a Microsoft Excel add-in.

Function Documentation

Bill Yield Calculator

  

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doublebillYieldintsett
intmat
doubleprice )
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:
(1)
\displaystyle yield =  \frac{100-pr}{pr} * \frac{360}{DSM}

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
Parameters:
settThe settlement date, expressed as a serial Julian date. This is the date after issue when the treasury bill is traded to the buyer.
matThe maturity date of the settlement, expressed as a serial Julian date. This is the date when the treasury bill expires.
priceThe price per 100 face value of the treasury bill (expressed in the appropriate currency units).
Returns:
The yield of the treasury bill.
Note:
maturity dates more than 1 yeaer after the settlement date cause an error message to be issued.
Authors:
James Warren (August 2005)
Source Code:
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Last Modified: 18 Oct 07 @ 17:07     Page Rendered: 2008-05-08 13:49:55

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