TBILLPRICE(settlement, maturity, discount)

The TBILLPRICE function calculates the price per $100 face value for a Treasury bill. 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

discount

is the discount rate of the Treasury bill

TBILLPRICE is calculated using the formula:

100 * [1 - (discount * DSM/360)]

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 discount rate is 7%. The formula

TBILLPRICE(35559, 35734, 0.07)

returns a price of $96.60.

See also:

Other financial functions