tbillrepo

Break-even discount of repurchase agreement

Syntax

TBEDiscount = tbillrepo(RepoRate,InitialDiscount,PurchaseDate,SaleDate,Maturity)

Description

TBEDiscount = tbillrepo(RepoRate,InitialDiscount,PurchaseDate,SaleDate,Maturity) computes the true break-even discount of a repurchase agreement.

Examples

Compute the True Break-Even Discount

This example shows how to compute the true break-even discount of a Treasury bill repurchase agreement.

RepoRate = [0.045; 0.0475];
InitialDiscount = 0.0475;
PurchaseDate = '3-Jan-2002';
SaleDate = '3-Feb-2002';
Maturity = '3-Apr-2002';

TBEDiscount = tbillrepo(RepoRate, InitialDiscount,... 
PurchaseDate, SaleDate, Maturity)

TBEDiscount = 2×1

    0.0491
    0.0478

Compute the True Break-Even Discount Using datetime Inputs

This example shows how to use datetime inputs to compute the true break-even discount of a Treasury bill repurchase agreement.

RepoRate = [0.045; 0.0475];
InitialDiscount = 0.0475;
PurchaseDate = datetime(2002,1,3);
SaleDate = datetime(2002,2,3);
Maturity = datetime(2002,4,3);
TBEDiscount = tbillrepo(RepoRate, InitialDiscount,...
PurchaseDate, SaleDate, Maturity)

TBEDiscount = 2×1

    0.0491
    0.0478

Input Arguments

RepoRate — Annualized, 360-day based repurchase rate

decimal

Annualized, 360-day based repurchase rate, specified as a scalar of a NTBILLS-by-1 vector of decimal values.

Data Types: double

InitialDiscount — Discount on Treasury bill on day of purchase

decimal

Discount on the Treasury bill on the day of purchase, specified as a scalar of a NTBILLS-by-1 vector of decimal values.

Data Types: double

PurchaseDate — Date Treasury bill is purchased

datetime array | string array | date character vector

Date the Treasury bill is purchased, specified as a scalar or a NTBILLS-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, tbillrepo also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

SaleDate — Date Treasury bill repurchase term is due

datetime array | string array | date character vector

Date the Treasury bill repurchase term is due, specified as a scalar or a NTBILLS-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, tbillrepo also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Maturity — Maturity date of Treasury bill

datetime array | string array | date character vector

Maturity date of the Treasury bill, specified as a scalar or a NTBILLS-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, tbillrepo also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Output Arguments

TBEDiscount — True break-even discount of repurchase agreement

numeric

True break-even discount of a repurchase agreement, returned as a scalar or NTBILLS-by-1 vector.

References

[1] SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest. Volume 1, 3rd edition, pp. 44–45.

[2] Krgin, D. Handbook of Global Fixed Income Calculations. Wiley, 2002.

[3] Stigum, M., Robinson, F. Money Market and Bond Calculation. McGraw-Hill, 1996.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although tbillrepo supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.