Learning objectives: Identify the most commonly used day count conventions, describe the markets that each one is typically used in, and apply each to an interest calculation. Calculate the conversion of a discount rate to a price for a US Treasury bill. Differentiate between the clean and dirty...
A US Treasury bill is a (money market) discount instrument: the quoted price represents a discount from the face value. In this example, a quote price of 8.00 on a 90-day US Treasury bill implies a cash price of $98.00 and a true interest rate of 8.163% per annum
David's XLS is here...
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