treasury-bill-yield

July 11, 2026 · View on GitHub

US Treasury bill yield math — convert between the discount rate (how bills are auctioned and quoted), the price per $100, and the bond-equivalent yield (the "investment rate" TreasuryDirect publishes). Zero dependencies.

npm install treasury-bill-yield

Why

T-bills don't pay coupons, so their yields come in three flavors that constantly need converting: the 360-day discount rate, the actual price, and the 365/366-day bond-equivalent yield used to compare bills against notes and bonds. The formulas are the US Treasury's own — including the quadratic for bills longer than 182 days and the February-29 year-basis rule — and npm had none of them.

import { priceFromDiscount, bondEquivalentYield, discountFromPrice } from "tbill";

// 13-week bill auctioned at a 3.735% discount rate:
priceFromDiscount(0.03735, 91);   // 99.055875 — matches the published price

// 52-week bill 912797VQ7 (uses the >182-day quadratic):
bondEquivalentYield({
  price: 96.097111,
  issueDate: "2026-07-09",
  maturityDate: "2027-07-08",
});                                // 0.04032 — TreasuryDirect's investment rate

discountFromPrice(99.717667, 28); // 0.0363

Every function is tested against live TreasuryDirect auction records: for each fixture the government publishes all three numbers (discount rate, price, investment rate), and the tests reproduce each from the others — across 4-week, 13-week, 26-week, and 52-week tenors.

API

Rates are decimals (0.0383 = 3.83%; passing 3.83 throws with a helpful message). Prices are per-$100. Dates are "YYYY-MM-DD" strings or Date objects read as UTC.

  • priceFromDiscount(discountRate, days) — 100 · (1 − d·t/360)
  • discountFromPrice(price, days)
  • bondEquivalentYield({ price, issueDate, maturityDate }) — derives days and year basis, then: ≤182 days ((100−P)/P)·(y/t); >182 days the Treasury quadratic P·(1 + (t−y/2)/y·i)·(1 + i/2) = 100
  • bondEquivalentYieldFromDays(price, days, basis?) — explicit-basis variant
  • moneyMarketYield(discountRate, days) — CD-equivalent, 360·d/(360 − d·t)
  • yearBasis(issueDate) — 366 when Feb 29 falls within the following year, else 365
  • daysToMaturity(issueDate, maturityDate)

Part of a small fixed-income toolkit: 32nds (Treasury quote notation) · day-count · accrued-interest · sifma-holidays · treasurydirect (fetch the auction data these formulas reproduce).

Author

Built by Moshe Malka — engineering leader in New York City. Studio work at Quentin.Code.

MIT © Moshe Malka