http://www.analystforum.com/phorums/read.php?12,926972,927044#msg-927044
Pasted stuff from there for you:
Tbill Pricing
For some wierd historical reason and to make our life miserable, T-Bill is quoted differently from its price - meaning its quote is not its price. It is quoted at annualized discount. So adjust accordingly. So if quoted at 4% annulaized discount, the price is really (1-.04*90/360) i.e .99 So you pay .99 and get 1 when it expires. The yield (r) for 90 days is (1-.99)/.99 .
Futures pricing
Remember two things. Firstly, good old formula Future price, F= S*(1+r)**T. where r = risk free rate and T is expiration Time of future. Secondly, note (usual tripping point), there are two expiration days here 1) expiration of future and 2)expiration of underlying. The T above is expiration of future. the underlying is typically a 90 day instrument but it could be any h day T-bill.
Step 1 Get S
To get future price of n days on a 90 day underlying from you will need a T-bills greater than n days i.e n+90 days. If the future is for a h day (instead of 90 day) instrument then the you need T-bill expiring in n+h days. Anyway once you have this, use above Tbill pricing formula to get the spot price. So from CFAI text
140 day bill trading at 4.6% discount is 1 - .046*140/360=.9821
Step 2 Get (1+r)**T;
r is the risk free rate. So the (1+r)**T can also be looked at the yield on a T-bill for n days. So get the yield on a second T Bill expiring in n days. This corresponds to expiration days of t-bill Future. Assuming 50 day tbill is at 5% discount , price is 1-.05*50/360 =.9931. So (1+r)**T is equal to 100/.9931.
Step 3
Future Price = Step 1* Step 2. Note you have computed future price for a future expiring in 50 days for 140-50 i.e 90 day underlying T-bill.
Valuation
Actual futures values are not so painful as forwards as they are exchange traded and marked to market dialy - so one does not have to worry about value. Their value at end of each day is 0.
Eurodollars
They are priced like as T-bills future. This is not to confuse traders who were used to the T-Bill quotes. But that is not how Eurodollars time deposits are executed in practice. The interest is a add on yield . So a $1 Eurodollar time deposit is not priced at less than 1. It is priced at $1 and after n day you you get (1+r*90/360). A T-bill would be priced at (1-r*90/360) and executed thus in practice too. So the (1+r)**T in eurodollar Future does not match yield in practice. Hence the problem.