In this work, we introduce expressions for the default spread calculation based on an approximation of the discount factor, for the specific case of Treasury Bills. Additionally, expressions for the profit and losses array are obtained supported by a pass-time yield correction. Some relevant limits are explored as well in order to illustrate the large range model applicability. Treasury Bills are especially relevant within the banking industry since the financial institutions usually hold the largest portfolio position in them.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.