Week2 - Bills and Gilts

100 t Money Market Yield = 100 – P x 360 P t where t is the number of days until maturity. By substituting out for P it is easily proven that Money Market Yield = 360 x Bank Discount Yield 360 – (t x Bank Discount Yield) So that, in the above example for the US 91-day bill, Money Market Yield = 360 x 1.710% = 1.717% ................
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