Returns the yield of a Treasury bill.

Namespace: Imsl.Finance
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
public static double Tbillyield(
	DateTime settlement,
	DateTime maturity,
	double price
)
Visual Basic (Declaration)
Public Shared Function Tbillyield ( _
	settlement As DateTime, _
	maturity As DateTime, _
	price As Double _
) As Double
Visual C++
public:
static double Tbillyield(
	DateTime settlement, 
	DateTime maturity, 
	double price
)

Parameters

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

Return Value

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).

See Also