tbillrepo
Break-even discount of repurchase agreement
Description
computes the true break-even discount of a repurchase agreement.TBEDiscount
= tbillrepo(RepoRate
,InitialDiscount
,PurchaseDate
,SaleDate
,Maturity
)
Examples
Input Arguments
Output Arguments
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.