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tbillrepo

Break-even discount of repurchase agreement

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Syntax

TBEDiscount = tbillrepo(RepoRate,InitialDiscount,PurchaseDate,SaleDate,Maturity)

Description

example

TBEDiscount= tbillrepo(RepoRate,InitialDiscount,PurchaseDate,SaleDate,Maturity)computes the true break-even discount of a repurchase agreement.

Examples

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Open Live Script

This example shows how to compute the true break-even discount of a Treasury bill repurchase agreement.

RepoRate = [0.045; 0.0475]; InitialDiscount = 0.0475; PurchaseDate ='3-Jan-2002'; SaleDate =' 3 - 2月- 2002 '; Maturity ='3-Apr-2002'; TBEDiscount = tbillrepo(RepoRate, InitialDiscount,...PurchaseDate, SaleDate, Maturity)
TBEDiscount =2×10.0491 0.0478
Open Live Script

This example shows how to usedatetimeinputs to compute the true break-even discount of a Treasury bill repurchase agreement.

RepoRate = [0.045; 0.0475]; InitialDiscount = 0.0475; PurchaseDate = datetime('3-Jan-2002','Locale','en_US'); SaleDate = datetime(' 3 - 2月- 2002 ','Locale','en_US'); Maturity = datetime('3-Apr-2002','Locale','en_US'); TBEDiscount = tbillrepo(RepoRate, InitialDiscount,...PurchaseDate, SaleDate, Maturity)
TBEDiscount =2×10.0491 0.0478

Input Arguments

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Annualized, 360-day based repurchase rate, specified as a scalar of aNTBILLS-by-1vector of decimal values.

Data Types:double

Discount on the Treasury bill on the day of purchase, specified as a scalar of aNTBILLS-by-1vector of decimal values.

Data Types:double

Date the Treasury bill is purchased, specified as a scalar or aNTBILLS-by-1vector of serial date numbers, date character vectors, or datetime arrays.

Data Types:double|char|datetime

Date the Treasury bill repurchase term is due, specified as a scalar or aNTBILLS-by-1vector of serial date numbers, date character vectors, or datetime arrays.

Data Types:double|char|datetime

Maturity date of the Treasury bill, specified as a scalar or aNTBILLS-by-1vector of serial date numbers, date character vectors, or datetime arrays.

Data Types:double|char|datetime

Output Arguments

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True break-even discount of a repurchase agreement, returned as a scalar orNTBILLS-by-1vector.

参考

[1]SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest.Volume 1, 3rd edition, pp. 44–45.

[2] Krgin, D.Handbook of Global Fixed Income Calculations.Wiley, 2002.

[3] Stigum，M.，Robinson，F。Money Market and Bond Calculation.McGraw-Hill, 1996.

版本sion History

Introduced before R2006a

See Also

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