Documentation/How Tos/Calc: TBILLYIELD function

TBILLYIELD

Returns the yield for a US Treasury bill.

Syntax:

TBILLYIELD(settlementdate; maturitydate; issueprice)

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

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

issueprice: the issue price of the Treasury bill per $100 of par value.

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 yield is calculated as:

( (100 - issueprice) / issueprice ) * (360 / number_of_days_in_the_term)

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:

TBILLYIELD("2008-07-14"; "2009-01-14"; 96)

returns approximately 0.0829, or 8.29%.

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.