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