tbillrepo

Break-even discount of repurchase agreement

Description

example

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

Examples

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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-Feb-2002';
Maturity = '3-Apr-2002';

TBEDiscount = tbillrepo(RepoRate, InitialDiscount,... 
PurchaseDate, SaleDate, Maturity)
TBEDiscount = 2×1

    0.0491
    0.0478

This example shows how to use datetime inputs 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-Feb-2002','Locale','en_US');
Maturity = datetime('3-Apr-2002','Locale','en_US');
TBEDiscount = tbillrepo(RepoRate, InitialDiscount,...
PurchaseDate, SaleDate, Maturity)
TBEDiscount = 2×1

    0.0491
    0.0478

Input Arguments

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

Data Types: double

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

Data Types: double

Date the Treasury bill is purchased, specified as a scalar or a NTBILLS-by-1 vector 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 a NTBILLS-by-1 vector 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 a NTBILLS-by-1 vector 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 or NTBILLS-by-1 vector.

References

[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.

Introduced before R2006a