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FinanceBanking

bill Bond Equiv

Return the bond-equivalent yield for a treasury bill. Excel: TBILLEQ
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BillBondEquiv

 
doublebillBondEquivintsett
intmat
doublerate )
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 1

#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

serial Julian date.

Parameters

settThe settlement date, expressed as a serial Julian date.
matThe maturity date of the treasury bill, expressed as a

Returns

The bond-equivalent yield of a treasury bill.

Authors

James Warren (August 2005)
Source Code

Source code is available when you buy a Commercial licence.

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