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Subject 4. Different Yield Measures of a U.S. Treasury Bill 990.
Bank discount yield: (1000 - 990)/1000 x 360/60 = 6% Holding period yield: (1000 - 990)/990 = 1.0101% Effective annual yield: (1 + 1.0101%) 365/60 - 1 = 6.3047% Money market yield: (360 x 6%)/(360 - 60 x 6%) = 6.0606%
<span>If we know HPY, then:
EAY = (1 + HPY) 365/t - 1 r MM = HPY x 360/t
If we know EAY, then:
HPY = ( 1 + EAY) t/365 - 1 r MM = [(1 + EAY) t/365 - 1] x (360/t)
If we know r MM , then:
HPY = r MM x (t/360) EAY = (1 + r
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