treasuryBillYield

Evaluates the yield of a Treasury bill.

Synopsis

treasuryBillYield (settlement, maturity, price)

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 price (Input)

Price per $100 face value of the Treasury bill.

Return Value

The yield for a Treasury bill. If no result can be computed, NaN is returned.

Description

Function treasuryBillYield computes the yield for a Treasury bill.

It is computed using the following:

\[\left(\frac{100 - \mathit{price}}{\mathit{price}}\right) \left(\frac{360}{\mathit{DSM}}\right)\]

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, treasuryBillYield computes the yield for a Treasury bill with the settlement date of July 1, 2000, the maturity date of July 1, 2001, and priced at $94.93.

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

price = 94.93

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

tb_yield = treasuryBillYield(settlement, maturity, price)
print("The yield for the T-bill is $%.2f." % (tb_yield * 100))

Output

The yield for the T-bill is $5.27.