Valuation models
Money market
Term deposits, certificates of deposit, repos, Treasury bills, commercial paper and bankers' acceptances, with discount, money market and bond-equivalent yields, spread to the curve and PV01.
Inputs
Results
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Methodology
Conventions
- Deposits, CDs and repos pay principal plus simple interest at maturity; bills, CP and acceptances pay the face.
- A quote (discount rate, yield or price) prices a discount instrument; otherwise it is discounted on the curve.
References
- Stigum and Crescenzi, Stigum's Money Market
Formulas
- Deposit
- V = N (1 + r τ) D(t_m) − N D(t_s)
- Discount basis
- P = 100 (1 − d τ)
- Yield basis
- P = 100 / (1 + y τ)