Bond.Tbillyield Method

BondTbillyield Method

Returns the yield of a Treasury bill.

Namespace: Imsl.Finance
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

public static double Tbillyield(
	DateTime settlement,
	DateTime maturity,
	double price
)

Public Shared Function Tbillyield ( 
	settlement As DateTime,
	maturity As DateTime,
	price As Double
) As Double

public:
static double Tbillyield(
	DateTime settlement, 
	DateTime maturity, 
	double price
)

static member Tbillyield : 
        settlement : DateTime * 
        maturity : DateTime * 
        price : float -> float

Parameters

settlement: Type: SystemDateTime
The DateTime settlement date of the Treasury bill.
maturity: Type: SystemDateTime
The DateTime maturity date of the Treasury bill. The maturity cannot be more than a year after the settlement.
price: Type: SystemDouble
A double which specifies the Treasury bill's price per $100 face value.

Return Value

Type: Double
A double which specifies the yield for the Treasury bill. This is an annualized rate based on the purchase price of the bills and reflects the actual yield to maturity.

Remarks

It is computed using the following:

${{{100 - {\it price}} \over {\it price}}} \times {{{360} \over {\it DSM}}}$

In the equation above, ${\it DSM}$ represents the number of days in the period starting with the settlement date and ending with the maturity date (any maturity date that is more than one calendar year after the settlement date is excluded).

Reference

Bond Class

Imsl.Finance Namespace

Other Resources

Example