I"m having trouble figuring out converting BDY to HPY The schweser book states that you can convert BDY to HPY by RBD(days/360) / 1 - RBD (days/360) So for an example Tbill priced at 98,500 Face Value: 100,000 120 Days until maturity RBD is calculated as 1500 / 100,000 * 360 / 120 = 4.5% Now the HPY calculation from this 100,000 / 98,500 = 1.5228% but when I try to convert BDY to HPY as stated in the book RBD(days/360) / 1 - RBD (days/360), I get 4.713% Am i missing something from this calculation?
Hey, It’s a simple calc error. The following equates to 1.5228%: (RBD(days/360) / 1 - RBD (days/360)) - 1 There is enough information in the problem to calculate HPY directly, so I would use: (P1/P0) - 1 = (100,000/98,500) -1 = 1.5228% HTH.