TBILLYIELD(settlement, maturity, par)

The TBILLYIELD function calculates the yield for a Treasury bill. The yield is a measure of the value per dollar spent when the bill reaches maturity, expressed as an annual interest rate. The function arguments are:

settlement

is the settlement date of the Treasury bill, expressed as a date code

maturity

is the maturity date of the Treasury bill, expressed as a date code

par

is the price per $100 face value of the Treasury bill

TBILLYIELD is calculated using the formula:

[(100 - par)/par] * 360/DSM]

where DSM is the number of days from the settlement to the maturity date.

The maturity date should not be more than 1 calendar year after the settlement date, otherwise an error message is returned.

For example, a Treasury bill has settlement date 10th May, 1997 and maturity date 1st November, 1997. The price per $100 of the Treasury bill is $95.75. The formula

TBILLYIELD(35559, 35734, 95.75)

returns a yield of 9.13%.

See also:

Other financial functions