July 2011
Beginner
288 pages
7h 22m
English
Content preview from BOND MATH: The Theory Behind the FormulasBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Money Market Discount Rates
Treasury bills, commercial paper, and bankers acceptances in the U.S. are quoted on a discount rate (DR) basis. The price of the security is a discount from the face value.
Here, PV and FV are the two cash flows on the security; PV is the current price and FV is the amount paid at maturity. The term in brackets is the amount of the discount—it is the future (or face) value times the annual discount rate times the fraction of the year. Interest is not “added on” to the principal; instead it is included in the face value.
The pricing equation for discount rate instruments expressed more compactly is:
Suppose that the ...
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