,TBillYield(Settlement: DateTime, Maturity: DateTime, Price: Double): Double;
TBillYield(Settlement: System.DateTime, Maturity: System.DateTime, Price: double): double;
Settlement. The treasury bill's settlement date
Maturity. Maturity date for the Treasury bill
Price. The price per $100 face value for a treasury bill.
The TBillYield method returns yield for a treasury bill.
The Settlement parameter value should not be less than the Maturity parameter value.
Value of the Price parameter must be positive.
The method is calculated as follows:
,
where:
DSM. Number of days from the Settlement calculation date to the Maturity maturity date calculated basing on 360 day year.
To execute the example, add a link to the MathFin system assembly.
Sub UserProc;
Var
r: Double;
Begin
r := Finance.TBillYield(DateTime.ComposeDay(2007,01,01), DateTime.ComposeDay(2008,09,01), 87.79);
Debug.WriteLine(r);
End Sub UserProc;
Imports Prognoz.Platform.Interop.MathFin;
…
Public Shared Sub Main(Params: StartParams);
Var
r: double;
Finance: FinanceClass = New FinanceClass();
DateTime1, DateTime2: System.DateTime;
Begin
DateTime1 := New DateTime(2007,01,01);
DateTime2 := New DateTime(2008,09,01);
r := Finance.TBillYield(DateTime1, DateTime2, 87.79);
System.Diagnostics.Debug.WriteLine(r);
End Sub;
After executing the example the console window displays the yield equal to 0.0834.
See also: