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