tbill_yield_methodology
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tbill_yield_methodology [2024/02/27 22:55] – [Example 3] raju | tbill_yield_methodology [2024/02/27 23:03] (current) – [Example 4] raju | ||
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Line 97: | Line 97: | ||
Combining both, we get | Combining both, we get | ||
- | ^ Bills ^ CMB ^ CUSIP ^ Issue Date ^ Maturity Date ^ High Rate ^ Investment Rate ^ Price per $100 ^ | + | ^ Security Term ^ CMB ^ CUSIP ^ Issue Date ^ Maturity Date ^ High Rate ^ Investment Rate ^ Price per $100 ^ |
| 42-Day | Yes | 912797HF7 | 02/29/2024 | 04/11/2024 | 5.290% | 5.397% | $99.382833 | | | 42-Day | Yes | 912797HF7 | 02/29/2024 | 04/11/2024 | 5.290% | 5.397% | $99.382833 | | ||
| 42-Day | Yes | 912797GZ4 | 02/22/2024 | 04/04/2024 | 5.280% | 5.401% | $99.384000 | | | 42-Day | Yes | 912797GZ4 | 02/22/2024 | 04/04/2024 | 5.280% | 5.401% | $99.384000 | | ||
+ | |||
+ | Notice how yield (Investment Rate) went down (from 5.401% to 5.397%) even though price went down (from \$99.384000 to \$99.382833) for the first entry? This is because the 'days in year' changes from 366 to 365. | ||
+ | |||
+ | < | ||
+ | $ ipython | ||
+ | |||
+ | In [1]: | ||
+ | from tbill_yield import tbill_yield_short_maturity | ||
+ | tbill_yield_short_maturity(99.384000, | ||
+ | Out[1]: | ||
+ | 5.401 | ||
+ | |||
+ | In [2]: | ||
+ | tbill_yield_short_maturity(99.382833, | ||
+ | Out[2]: | ||
+ | 5.397 | ||
+ | </ | ||
+ | |||
+ | Ref: https:// | ||
tbill_yield_methodology.1709074559.txt.gz · Last modified: 2024/02/27 22:55 by raju