bill Price

Dependents

this module uses 7 subunits yearFractiondateDiff360dateYMDisLeapYearYearBasisconstantsdaysInMonth

Interface

BillPrice

Return the price per 100 (currency units) face value of a treasury bill. This function is equivalent to the Microsoft Excel function TBILLPRICE.

The following equation is used:

Where: price is the price per 100 face value of the treasury, rate is the discount rate of the treasury bill, DSM is the number of days from settlement to maturity.

References:

Microsoft Excel help file

Example 1

#include <stdio.h>
#include <codecogs/units/date/date.h>
#include <codecogs/finance/banking/billprice.h>
 
int main(int argc, char *argv[])
{
  int settDate=Units::Date::date(1999, 3, 31);
  int maturityDate=Units::Date::date(1999, 6, 1);
  double result=Finance::Banking::billPrice(settDate, maturityDate, 0.09);
  int y, m, d;
 
  Units::Date::dateYMD(settDate, y, m, d);
  printf("settlement=%i/%i/%i\n", y, m, d);
 
  Units::Date::dateYMD(maturityDate, y, m, d);
  printf("maturity=%i/%i/%i\n", y, m, d);
 
  printf("treasury bill price=%f\n\n", result);
 
  settDate=Units::Date::date(2005, 8, 9);
  maturityDate=Units::Date::date(2005, 12, 30);
  result=Finance::Banking::billPrice(settDate, maturityDate, 0.11);
  Units::Date::dateYMD(settDate, y, m, d);
  printf("settlement=%i/%i/%i\n", y, m, d);
 
  Units::Date::dateYMD(maturityDate, y, m, d);
  printf("maturity=%i/%i/%i\n", y, m, d);
 
  printf("treasury bill price=%f\n", result);
  return 0;
}

Output:

settlement=1999/3/31
maturity=1999/6/1
treasury bill price=98.45
 
settlement=2005/8/9
maturity=2005/12/30
treasury bill price=95.661111

This is the date after issue when the treasury bill is traded to the buyer.

Julian date. This is the date when the treasury bill expires.

Note

maturity dates more than 1 yeaer after the settlement date cause an error message to be issued.

Parameters

sett	The settlement date, expressed as a serial Julian date.
mat	The maturity date of the settlement, expressed as a serial
rate	The discount rate of the treasury bill.

Returns

The previous coupon date of the security.

Authors

James Warren (August 2005)

Source Code

Source code is available when you agree to a GP Licence or buy a Commercial Licence.

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