Investment Studio > Expressions > Functions > Financial > TBILLYIELD

float tbillyield(date settlement_date, date maturity_date, float price_per_100_face_value)

Returns the yield for a US Treasury bill.

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.

price_per_100_face_value is the treasury bill's price per USD 100 face value.

The treasury bill yield is defined as

tbillyield = ((100 - price) / price)- (360 / days from settlement to maturity)

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
• Price per USD 100 face value: USD 99.71

Assuming standard US date format settings, the treasury bill yield is

=tbillyield("3/31/2002", "6/1/2002", 99.71)

» 1.69%.

See also tbilleq, tbillprice.