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Hull 06.08 modified: Money Market Discount Rate (e.g., Treasury Bill) |
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Face |
100 |
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n (days) |
90 |
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P (discount)(%) |
10.0 |
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Y (cash price) |
97.50 |
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Solving for P |
10.0 |
<< Hull's formula: P = 36/n*(100-Y) |
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True Yield |
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Discount rate(%) |
10.00 |
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Discount rate |
10.00% |
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True Yield (quarterly, actual/360) |
10.2564% |
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True Yield (quarterly, actual/360), alt |
10.2564% |
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True Yield (quarterly, actual/365) |
10.3989% |
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True Yield (continuous, actual/365) |
10.2678% |
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True Yield (continuous, actual/365), converting the discrete |
10.2678% |
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