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: