treasuryBillPrice

Evaluates the price per $100 face value of a Treasury bill.

Synopsis

treasuryBillPrice (settlement, maturity, discountRate)

Required Arguments

date settlement (Input)

The date on which payment is made to settle a trade. For a more detailed discussion on dates see the Usage Notes section of this chapter.

date maturity (Input)

The date on which the bond comes due, and principal and accrued interest are paid. For a more detailed discussion on dates see the Usage Notes section of this chapter.

float discountRate (Input)

The interest rate implied when a security is sold for less than its value at maturity in lieu of interest payments.

Return Value

The price per $100 face value of a Treasury bill. If no result can be computed, NaN is returned.

Description

Function treasuryBillPrice computes the price per $100 face value for a Treasury bill.

It is computed using the following:

\[100 \left(1 - \frac{\mathit{discount\_rate} * \mathit{DSM}}{360}\right)\]

In the equation above, 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).

Example

In this example, treasuryBillPrice computes the price for a Treasury bill with the settlement date of July 1, 2000, the maturity date of July 1, 2001, and a discount rate of 5% at the issue date.

from __future__ import print_function
from numpy import *
from datetime import date
from pyimsl.math.treasuryBillPrice import treasuryBillPrice

discount = .05

settlement = date(2000, 7, 1)
maturity = date(2001, 7, 1)

price = treasuryBillPrice(settlement, maturity, discount)
print("The price per $100 face value for the T-bill is $%.2f."
      % (price))

Output

The price per $100 face value for the T-bill is $94.93.