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bondAnalyst (version 1.0.1)

pricingTbill: Calculates Price of a Treasury bill (T-bill).

Description

Calculates Price of a Treasury bill (T-bill).

Usage

pricingTbill(maturityVal, daysToMaturity, daysInYear, mmQuotedDiscRate)

Value

Input values to four arguments maturityVal ,daysToMaturity, daysInYear, and mmQuotedDiscRate.

Arguments

maturityVal

A number.

daysToMaturity

A number.

daysInYear

A number.

mmQuotedDiscRate

A number.

Author

MaheshP Kumar, maheshparamjitkumar@gmail.com

Details

As explained by Adams and Smith (2019), suppose that a 91-day Treasury bill (T-bill) with a face value of USD 10 million is quoted at a discount rate of 2.25 percent for an assumed 360-day year. Here, the maturity Value is 10,000,000 (that stand for 10 million US dollars), days to Maturity are 91, days in a year are taken as 360, and money market quoted discount rate is 0.0225. When these values are passed to the method , pricingTbill, the price of the T-bill works out to be 9,943,125 US dollars. In light of the information given, the method pricingTbill is developed to compute the Price of a Treasury bill (T-bill) for the values passed to its four arguments. Here, maturityVal is face value of the T-Bill, daysToMaturity is number of days till the maturity, daysInYear are taken to be 360, and mmQuotedDiscRate is money market quoted Discount Rate.

References

Adams,J.F. & Smith,D.J.(2019). Introduction to fixed-income valuation. In CFA Program Curriculum 2020 Level I Volumes 1-6. (Vol. 5, pp. 107-151). Wiley Professional Development (P&T). ISBN 9781119593577, https://bookshelf.vitalsource.com/books/9781119593577

Examples

Run this code
pricingTbill(maturityVal=10000000,daysToMaturity=91,daysInYear=360,mmQuotedDiscRate=0.0225)

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