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

Parameters:

sett	The settlement date, expressed as a serial Julian date. This is the date after issue when the treasury bill is traded to the buyer.
mat	The maturity date of the settlement, expressed as a serial Julian date. This is the date when the treasury bill expires.
price	The 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:

- To get code register with CodeCogs. Already a Member, then Login.