Treasury bond parameters given Treasury bill parameters.

Syntax

tbond = tbl2bond(tbill)

Arguments

tbill

Treasury bill parameters. An N-by-5 matrix where each row describes a Treasury bill. N is the number of Treasury bills.
Columns are [md daysm bid ask askyld] where

md

Maturity date, as a serial date number. Use datenum to convert date strings to serial date numbers.

daysm

Days to maturity, as an integer.

bid

Bid bank-discount rate: the percentage discount from face value at which the bill could be bought, annualized on a simple-interest basis. As a decimal fraction.

ask

Asked bank-discount rate, as a decimal fraction.

askyld

Asked yield: the bond-equivalent yield from holding the bill to maturity, annualized on a simple-interest basis and assuming a 365-day year. As a decimal fraction.

Description

tbond

Treasury bond parameters. An N-by-5 matrix where each row describes an equivalent Treasury (zero-coupon) bond.
Columns are [cpn md bidp askp askytm] where

cpn

Coupon rate, which is always 0.

md

Maturity date, as a serial date number. This date is the same as the tbill date md. Use datestr to convert serial date numbers to date strings.

bidp

Bid price based on $100 face value.

askp

Asked price based on $100 face value.

askytm

Asked yield to maturity: the effective return from holding the bond to maturity, annualized on a compound-interest basis.

Example

tbill = [datenum('jan 02 1998')  10  0.0526  0.0522  0.0530
         datenum('feb 05 1998')  44  0.0537  0.0533  0.0544
         datenum('mar 05 1998')  72  0.0529  0.0527  0.0540];

tbond = tbl2bond(tbill)
tbond =
            0  729757       99.854       99.855     0.054391
            0  729791       99.344       99.349     0.055714
            0  729819       98.942       98.946     0.055184

See Also