Calculating Yields
Example
In January of 1999, 91-day T-bills were issued at a discount of
4.36%.
- Price of bill = 100 - 91/360 x 4.36 = 98.898
- 91-day return = (100 - 98.898) / 98.898 = 1.11%
- Annual return = 1.11 x 365/91 = 4.47% simple interest
or
(1.0111)365 / 91 - 1 = 4.55% compound interest