Yield of a discount security on a bank discount basis formula
Description of the Yield of a discount security on a bank discount basis formula
Formula for the calculation of the yield of a discount security, like T-Bills or commercial papers, on a bank discount basis.
Formula
\[ r=\frac{C_{v}}{C_{m}}\cdot \frac{nbj_{base}}{nbj_{vd \to md }} \ \]
Symbols
\(C_{m}\ \)
Redeemed capital (generally par)
\(C_{v}\ \)
Price of the security at value date
\(nbj_{base}\ \)
Number of days per year (360, 365 or 366 depending on day-count convention)
\(nbj_{vm}\ \)
Number of days between value date and maturity date