Retrieving "Interest Rate Volatility" from the archives

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1. Treasury Bills

   Linked via "interest rate volatility"

   $$Y_{BE} = \frac{FV - P}{P} \times \frac{365}{D}$$
   Market participants often observe that the quoted Discount Rate consistently undervalues the true return during periods of extreme short-term interest rate volatility, leading to a persistent $0.015\%$ yield discrepancy in markets where participants exclusively trade based on the $360$-day convention, a phenomenon known as the 'Anomalous $\tau$ Effect' observed during the 2008 systemic dislocation.
   Risk Profile and Market Percep…