TBILLEQ
Updated: 5 August 2010
Use TBILLEQ to calculate the bond-equivalent yield for a Treasury bill.
Syntax
SELECT [westclintech].[wct].[TBILLEQ] (
<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Discount, float,>)
Arguments
@Settlement
the settlement date of the security. @Settlement is an expression that returns a datetime or smalldatetime value, or a character string in date format.
@Maturity
the maturity date of the security. @Maturity is an expression that returns a datetime or smalldatetime value, or a character string in date format.
@Discount
the security’s discount rate. @Discount is an expression of type float or of a type that can be implicitly converted to float.
Return Type
float
Remarks
· If @Discount < 0 TBILLEQ returns an error
· If @Settlement > @Maturity TBILLEQ returns an error
· If @Maturity is more than 1 year after @Settlement TBILLEQ returns an error
· The following formula is used :
TBILLEQ = (365*@Discount)/(360-(@Discount*DSM))
Where DSM is the number of days from @Settlement to @Maturity
Example
SELECT wct.TBILLEQ('2/1/2008'
,'6/1/2008'
,.048)
Here is the result set
----------------------
0.04946469711343