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hull.06.08 by btzoho  310 views
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Hull 06.08 modified: Money Market Discount Rate (e.g., Treasury Bill)
Face100
n (days)90
P (discount)(%)10.0
Y (cash price) 97.50
Solving for P10.0<< Hull's formula: P = 36/n*(100-Y)
True Yield
Discount rate(%) 10.00
Discount rate10.00%
True Yield (quarterly, actual/360)10.2564%
True Yield (quarterly, actual/360), alt10.2564%
True Yield (quarterly, actual/365)10.3989%
True Yield (continuous, actual/365)10.2678%
True Yield (continuous, actual/365), converting the discrete10.2678%
Hull 6_1_ T_bill Discount rate
 
     
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