0
$\begingroup$

I am trying to price a simple 5Y US T Bill. The pricing should be fairly straightforward, however my result is still off by a significant amoaunt. I think the daycount fraction is incorrect, but I am not able to fix it.

I am using an ACT/ACT day convention. Please also notice that one of the payment for a a coupon takes place on the 29th of Feb. I think the LEAP YEAR also makes things harder.

enter image description here

I Calculated the YEAR fractions in two ways: - DAYS(d1,sett)/DAYS(d1,d2)*2 - Excel YEARFRAC(settlement, coupon)

$\endgroup$
3
  • $\begingroup$ Did you account for accrued interest? $\endgroup$
    – dm63
    Apr 4 '20 at 9:30
  • $\begingroup$ I should have made it clear. This is a clean price calculation. $\endgroup$ Apr 4 '20 at 10:01
  • $\begingroup$ Try changing the coupon to 0.33 to see if you get par? $\endgroup$
    – dm63
    Apr 4 '20 at 10:10

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.