tbl2bond
Treasury bond parameters given Treasury bill parameters
Description
[
restates US Treasury bill market parameters in US Treasury bond form as zero-coupon
bonds. This function makes Treasury bills directly comparable to Treasury bonds and
notes.TBondMatrix
,Settle
] = tbl2bond(TBillMatrix
)
Examples
Restate U.S. Treasury Bill in U.S. Treasury Bond Form
This example shows how to restate U.S. Treasury bill market parameters in U.S. Treasury bond form, given published Treasury bill market parameters for December 22, 1997.
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 = 3×5
105 ×
0 7.2976 0.0010 0.0010 0.0000
0 7.2979 0.0010 0.0010 0.0000
0 7.2982 0.0010 0.0010 0.0000
Restate U.S. Treasury Bill in U.S. Treasury Bond Form Using datetime Input
This example shows how to use datetime
input to restate U.S. Treasury bill market parameters in U.S. Treasury bond form, given published Treasury bill market parameters for December 22, 1997.
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]; dates = datetime(TBill(:,1), 'ConvertFrom', 'datenum','Locale','en_US'); data = TBill(:,2:end); t=[table(dates) array2table(data)]; [TBond, Settle] = tbl2bond(t)
TBond=3×5 table
CouponRate Maturity Bid Asked AskYield
__________ ___________ ______ ______ ________
0 02-Jan-1998 99.854 99.855 0.053
0 05-Feb-1998 99.344 99.349 0.0544
0 05-Mar-1998 98.942 98.946 0.054
Settle = 3x1 datetime
22-Dec-1997
22-Dec-1997
22-Dec-1997
Input Arguments
TBillMatrix
— Treasury bill parameters
table | matrix
Treasury bill parameters, specified as a 5-column table or a
N
-by-5
matrix of bond
information where the table columns or matrix columns contains:
Maturity
(Required) Maturity date of Treasury bills, specified as a datetime, string, date character vector, or serial date number when using a matrix. If the inputTBillMatrix
is a table, theMaturity
dates can be a datetime array, string array, date character vectors, or serial date numbers. You can usedatetime
to convert serial date numbers to datetime arrays.DaysMaturity
(Required) Days to maturity, specified as an integer. Days to maturity are quoted on a skip-day basis; the actual number of days from settlement to maturity isDaysMaturity + 1
.Bid
(Required) Bid bank-discount rate (the percentage discount from face value at which the bill could be bought, annualized on a simple-interest basis), specified as a decimal fraction.Asked
(Required) Asked bank-discount rate, specified as a decimal fraction.AskYield
(Required) Asked yield (the bond-equivalent yield from holding the bill to maturity, annualized on a simple-interest basis and assuming a 365-day year), specified as a decimal fraction.
Data Types: double
| char
| string
| datetime
| table
Output Arguments
TBondMatrix
— Treasury bond parameters
table | matrix
Treasury bond parameters, returned as a table or matrix depending on
the TBillMatrix
input.
When TBillMatrix
is a table,
TBondMatrix
is also a table, and the variable
type for the Maturity
dates in
TBondMatrix
(column 1) matches the variable type
for Maturity
in TBillMatrix
. For
example, if Maturity
dates are datetime arrays in
TBillMatrix
, they will also be datetime arrays
in TBondMatrix
.
When TBillMatrix
input is a
N
-by-5
matrix, then each row
describes a Treasury bond.
The parameters or columns returned for TBondMatrix
are:
CouponRate
(Column 1) Coupon rate, which is always0
since the Treasury bills are, by definition, a zero coupon instrument..
Maturity
(Column 2) Maturity date for each bond. The format of the dates matches the format used forMaturity
inTBillMatrix
(datetime array, string array, date character vector, or serial date number).Bid
(Column 3) Bid price based on $100 face value.Asked
(Column 4) Asked price based on $100 face value.AskYield
(Column 5) Asked yield to maturity: the effective return from holding the bond to maturity, annualized on a compound-interest basis.
Settle
— Settlement dates implied by maturity dates and number of days to maturity quote
serial date number | datetime
Settlement dates implied by the maturity dates and the number of days
to maturity quote, returned as a
N
-by-5
vector containing serial
date numbers, by default. Use the function datetime
to convert serial
date numbers to formatted datetime arrays. Settle
is
returned as a datetime array only if the input
TBillMatrix
is a table containing datetime arrays
for Maturity
in the first column.
Version History
Introduced before R2006a
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