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The DOLLARDE Function
The second Excel function you may find useful when dealing
with the Treasury markets is DOLLARDE, which converts a
dollar price expressed as a fraction into a dollar price expressed
as a decimal number. This function is extremely useful in converting
page-based Treasury data, which may be expressed as 32nds, into
an actual decimal number so it can be used in further calculations.
For example, the Reuter page MMKT lists treasury bills and bonds in what
appears to be decimal format. However, upon closer examination, you'll
notice that all the decimals for the 2YR through 30Y bonds are below 32
- they're actually 32nds, not decimals. Show
me
To convert this data into an actual decimal value, you must
first retrieve it into Excel, then enter the following formula:
| =DOLLARDE(fraction, denominator) |
where fraction refers to the cell with the reference to MMKT
and the denominator is 32. Your Excel spreadsheet should
look like this:
Again,
be careful when retrieving data expressed as 32nds into Excel.
The 99.14 above actually refers to 99 and 14/32, not 99.14. If
you use this cell in calculations, it will yield erroneous results.
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