treasury_direct_notes
Differences
This shows you the differences between two versions of the page.
Both sides previous revisionPrevious revisionNext revision | Previous revision | ||
treasury_direct_notes [2023/01/19 23:29] – admin | treasury_direct_notes [2023/04/04 14:14] (current) – [treasury bills vs. notes vs. bonds] admin | ||
---|---|---|---|
Line 1: | Line 1: | ||
- | ==== methodology related ==== | + | ===== qna ===== |
+ | ==== treasury bills vs. notes vs. bonds ==== | ||
+ | ??? What is the difference between Treasury bills, notes and bonds? | ||
+ | !!! | ||
+ | |||
+ | ^ ^ Treasury Bills ^ Treasury Notes ^ Treasury Bonds ^ | ||
+ | | term | short-term | short or medium-term | long-term | | ||
+ | | mature in | one year or less | 2, 3, 5, 7, or 10 years | 20 or 30 years | | ||
+ | |||
+ | Ref:- https:// | ||
+ | |||
+ | ===== methodology related | ||
+ | ==== high rate vs. investment rate ==== | ||
??? What is the difference between "high rate" and " | ??? What is the difference between "high rate" and " | ||
- | !!! | + | !!! For bills not more than one half-year to maturity |
< | < | ||
high_rate = ((100-P) / 100) * (360 / r) | high_rate = ((100-P) / 100) * (360 / r) | ||
- | investment_rate = ((100-P) / P) * (days_in_year | + | investment_rate = ((100-P) / P) * (y / r) |
</ | </ | ||
+ | Where P is the price, r is days to maturity, y is days in year (365 in normal year, 366 in leap year) | ||
+ | |||
+ | Ref:- | ||
+ | * https:// | ||
+ | * https:// | ||
+ | |||
For example, on 2023-01-19, https:// | For example, on 2023-01-19, https:// | ||
^ Security Term ^ CUSIP ^ Issue Date ^ Maturity Date ^ High Rate ^ Investment Rate ^ | ^ Security Term ^ CUSIP ^ Issue Date ^ Maturity Date ^ High Rate ^ Investment Rate ^ | ||
- | | 4-week | 912796Y60 | 01/24/2023 | 02/21/2023 | 4.480% | 4.558% | | + | | 4-week |
+ | |||
+ | Clicking on the CUSIP showed | ||
+ | |||
+ | ^ CUSIP ^ Security Type ^ Security Term ^ Auction Date ^ Issue Date ^ Maturity Date ^ Price per $100 ^ | ||
+ | | 912796Y60 | Bill | 4-Week | 01/19/2023 | 01/24/2023 | 02/21/2023 | 99.651556 | | ||
+ | |||
+ | < | ||
+ | $ ipython | ||
+ | Python 3.10.8 | packaged by conda-forge | (main, Nov 24 2022, 14:07:00) [MSC v.1916 64 bit (AMD64)] | ||
+ | IPython 8.7.0 -- An enhanced Interactive Python. Type '?' | ||
+ | |||
+ | In [1]: | ||
+ | P = 99.651556; r = 28; y = 365 | ||
+ | |||
+ | In [2]: | ||
+ | high_rate = ((100-P) / 100) * (360 / r) | ||
+ | |||
+ | In [3]: | ||
+ | high_rate | ||
+ | Out[3]: | ||
+ | 0.04479994285714294 | ||
+ | |||
+ | In [4]: | ||
+ | round(high_rate * 100, 3) | ||
+ | Out[4]: | ||
+ | 4.48 | ||
+ | |||
+ | In [5]: | ||
+ | investment_rate = ((100-P) / P) * (y / r) | ||
+ | |||
+ | In [6]: | ||
+ | investment_rate | ||
+ | Out[6]: | ||
+ | 0.04558098850530179 | ||
+ | |||
+ | In [7]: | ||
+ | round(investment_rate * 100, 3) | ||
+ | Out[7]: | ||
+ | 4.558 | ||
+ | </ | ||
+ | ===== dummy ===== | ||
==== Highlights from https:// | ==== Highlights from https:// | ||
* bill, note, bond, FRN, and TIPS | * bill, note, bond, FRN, and TIPS | ||
Line 21: | Line 80: | ||
==== links I came across ==== | ==== links I came across ==== | ||
+ | * https:// | ||
* https:// | * https:// | ||
* https:// | * https:// | ||
treasury_direct_notes.1674170958.txt.gz · Last modified: 2023/01/19 23:29 by admin