tbill_yield_methodology
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Example: 912797JA6 is a tbill with a maturity of 28 days. It was sold for $99.5905 on 2023-12-21. What is the yield?
Ans: For tbills of not more than half-year maturity, the yield is calculated as
i = ((100 - P)/P) * (y/r)
where y is 366, r is the days to maturity.
In [25]: def tbill_yield(P, r): y = 366 i = ((100 - P) / P) * (y/r) i = round(i*100, 3) return(i) In [26]: tbill_yield(99.5905, 28) Out[26]: 5.375
so the yield is 5.375%
Ref:
- https://www.treasurydirect.gov/instit/annceresult/press/preanre/2004/ofcalc6decbill.pdf shows examples to compute price, yield and rate for tbills.
- rate == discount rate?
- yield == coupon equivalent yield?
- pg-2 shows how to compute the yield for bills of not more than one half-year to maturity.
- https://www.treasurydirect.gov/auctions/announcements-data-results/announcement-results-press-releases/auction-results/ gives “today's auction results”
- https://www.treasurydirect.gov/instit/annceresult/press/preanre/2023/R_20231221_1.pdf shows that it is 28-day tbill, was sold on 2023-12-21 at a price of $99.590500 for an “Investment Rate” of 5.375%. This “Investment Rate” is same as the yield above.
tbill_yield_methodology.1703185184.txt.gz · Last modified: 2023/12/21 18:59 by raju