Investment Studio > Expressions > Functions > Financial > TBILLPRICE

float tbillprice(date settlement_date, date maturity_date, float discount_rate)

Returns the price of a US Treasury bill with USD 100 face value.

settlement_date is the date (in the range [issue date, maturity_date[) when the treasury bill is traded.

maturity_date is the date when the treasury bill expires and the interest is paid. It may not be more than a year after settlement, or the result is an error (#VALUE!).

Automatic type conversion allows the use of date strings as arguments instead of explicit date values.

discount_rate > 0 is the treasury bill's rate of discount.

The price is given by the expression

tbillprice = 100 * (1 - discount_rate * days from settlement to maturity / 360)

The number of days from settlement to maturity is computed according to the NASD 30/360 convention. If settlement_date is the 31st of a month, it's set to the 30th of the same month. If maturity_date is the 31st of a month, it's set to the 30th of the same month unless settlement_date is less than the 30th of a month, in which case maturity_date is set to the 1st of the next month.

Example

Consider a treasury bill with the following properties:

• Settlement date: March 31, 2002
• Maturity date: June 1, 2002
• Discount rate: 1.7%

Assuming standard US date format settings, the price is

=tbillprice("3/31/2002", "6/1/2002", 1.7%)

» USD 99.71.

See also tbilleq, tbillyield.