| pricingTbill {bondAnalyst} | R Documentation |
Calculates Price of a Treasury bill (T-bill).
Description
Calculates Price of a Treasury bill (T-bill).
Usage
pricingTbill(maturityVal, daysToMaturity, daysInYear, mmQuotedDiscRate)
Arguments
maturityVal |
A number. |
daysToMaturity |
A number. |
daysInYear |
A number. |
mmQuotedDiscRate |
A number. |
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.
Value
Input values to four arguments maturityVal ,daysToMaturity, daysInYear, and mmQuotedDiscRate.
Author(s)
MaheshP Kumar, maheshparamjitkumar@gmail.com
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
pricingTbill(maturityVal=10000000,daysToMaturity=91,daysInYear=360,mmQuotedDiscRate=0.0225)