Syntax. TBILLYIELD(Settlement,Maturity,Pr)
Definition. This function returns the yield of a discounted security as an annual interest rate in arrears. It is used for U.S. treasury bills.
Arguments
Settlement (required) The date when the ownership of the security changes
Maturity (required) The date of the repayment of the certified par value
Pr (required) The price of the security on the day of settlement as a percentage; it must be interpreted as if the par value of the security was 100 monetary units
There are the following requirements:
Settlement and Maturity require a date specification without a time; decimal places are truncated. Invalid date specifications return the
#VALUE!error.If Pr is not positive, TBILLYIELD() returns the
#NUMBER!error.The same error is generated if the settlement date lies past the maturity date or the maturity has more than a year of time difference from the settlement.
Important
Excel Help contains the following note:
“Dates should be entered with the DATE() function or as results of other formulas or functions. Problems might occur if dates are entered as text.”
Background. You can calculate the price with a simple percentage calculation: The gain at the day of maturity, which results from the difference between 100 and the paid purchase price, is put in relation to the purchase price (interest in arrears). Because the paper is held less than one year, the interest has to be extrapolated to an entire year to be able to perform a comparison:
The day counter works with 360 days per year, where each month has as many days as it has in the calendar. This corresponds to the option Basis = 2 for those functions that use an argument, such as those in functions Table 15-2, shown earlier.
Example. In the sample files for this function, you can find some number experiments that manually recreate this formula and compare the results with those of YIELDDISC() and INTRATE(). They convert anticipative interest rates to interest rates in arrears (yields). Both functions return the result TBILLYIELD() if the day counter Basis = 2 is used.