Returns the bond-equivalent yield of a Treasury bill.

Namespace: Imsl.Finance
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
public static double Tbilleq(
	DateTime settlement,
	DateTime maturity,
	double rate
)
Visual Basic (Declaration)
Public Shared Function Tbilleq ( _
	settlement As DateTime, _
	maturity As DateTime, _
	rate As Double _
) As Double
Visual C++
public:
static double Tbilleq(
	DateTime settlement, 
	DateTime maturity, 
	double rate
)

Parameters

settlement
Type: System..::.DateTime
The DateTime settlement date of the Treasury bill.
maturity
Type: System..::.DateTime
The DateTime maturity date of the Treasury bill. The maturity cannot be more than a year after the settlement.
rate
Type: System..::.Double
A double which specifies the Treasury bill's discount rate at issue date. The discount rate is an annualized rate of return based on the par value of the bills. The discount rate is calculated on a 360-day basis (twelve 30-day months).

Return Value

A double which specifies the bond-equivalent yield for the Treasury bill. This is an annualized rate based on the purchase price of the bills and reflects the actual yield to maturity.

Remarks

It is computed using the following: If DSM \lt =182

{{365 \times {\it rate}} \over {360 - {\it rate} \times {\it DSM}}}
otherwise,
{{ - {{\it DSM} \over {365}} + \sqrt {\left( {{{\it DSM} \over {365}}} \right)^2 - \left( {2 \times {{\it DSM} \over {365}} - 1} \right) \times {{{\it rate} \times {\it DSM}} \over {{\it rate} \times {\it DSM} - {360}}}} } \over {{{\it DSM} \over {365}} - 0.5}}
In the above equation, {\it DSM} represents the number of days starting at settlement date to maturity date.

See Also