Like Treasury Bills, yields on commercial paper are quoted on a discount basis—the discount return to commercial paper holders is the annualized percentage difference between the price paid for the paper and the par value using a 360-day year. Specifically: icp(dy) = [(Pf - P0)/Pf] x (360/h)
and when converted to a bond equivalent yield:
icp(bey) = [(Pf - P0)/P0] x (365/h)
No comments:
Post a Comment