Documentation/How Tos/Calc: TBILLPRICE function

TBILLPRICE

Returns the issue price for a US Treasury bill, per $100 par value, given a discount rate.

Syntax:

TBILLPRICE(settlementdate; maturitydate; discountrate)

settlementdate: the settlement (purchase) date of the Treasury bill.

maturitydate: the maturity (redemption) date of the Treasury bill.

discountrate: the discount rate of the Treasury bill.

A Treasury bill is a short term (up to a year) Government security, sold at a discount to its par value (face value). It pays no interest and is redeemed at par value.

The Treasury bill here has a 360 day year basis.

The formula for TBILLPRICE is :

100 * ( 1 - (discountrate * number_of_days_in_the_term / 360) )

where number_of_days_in_the_term are the actual number of days between settlementdate and maturitydate.

An error results if the term given is not less than one year.

Example:

TBILLPRICE("2008-07-14"; "2009-01-14"; 4%)

returns approximately 97.99.

Issues:

• This function may assist with US Treasury bills if used carefully. The underlying formula may not apply to Treasury bills issued by other governments.