TBILLYIELD
Updated: 5 August 2010
Use TBILLYIELD to calculate the yield for a Treasury bill
Syntax
SELECT [westclintech].[wct].[TBILLYIELD] (
<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Pr, 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.
@Pr
the security’s price per 100 face value. @Pr is an expression of type float or of a type that can be implicitly converted to float.
Return Type
float
Remarks
· If @Pr <= 0 TBILLYIELD returns an error
· If @Settlement >= @Maturity TBILLYIELD returns an error
· If @Maturity is more than 1 year after @Settlement TBILLYIELD returns an error
· The following formula is used :
TBILLYIELD = (100-@Pr) / @Pr*360/DSM
Where DSM is the number of days from @Settlement to @Maturity
Examples
SELECT wct.TBILLYIELD('2/1/2008'
,'6/1/2008'
,98.75)
Here is the result set
----------------------
0.0376608431844335