Evaluates the interest rate implied when a security is sold for less than its value at maturity in lieu of interest payments.

settlement—The date on which payment is made to settle a trade. For a more detailed discussion on dates see Chapter 8, Working with Date/Time Data in the .

maturity—The date on which the bond comes due, and principal and accrued interest are paid. For a more detailed discussion on dates see Chapter 8, Working with Date/Time Data in the .

price—Price per $100 face value of the security.

redemption—Redemption value per $100 face value of the security.

basis—The method for computing the number of days between two dates. It should be 0, 1, 2, 3, or 4.

result—The discount rate for a security. If no result can be computed, NaN is returned.

Double—If present and nonzero, double precision is used.

Function DISCOUNT_RT computes the discount rate for a security. The discount rate is the interest rate implied when a security is sold for less than its value at maturity in lieu of interest payments.

It is computed using the following:

In the equation above, B represents the number of days in a year based on the annual basis and DSM represents the number of days starting with the settlement date and ending with the maturity date.

In this example, DISCOUNT_RT computes the discount rate of a security which is selling at $97.975 with the settlement date of February 15, 2000, and maturity date of June 10, 2000, using the Actual/365 day count method.

settlement = VAR_TO_DT(2000, 2, 15)

maturity = VAR_TO_DT(2000, 6, 10)

price = 97.975

redemption = 100.

basis = 3

PRINT, DISCOUNT_RT(settlement, maturity, price, $

   redemption, basis)

; PV-WAVE prints: 0.0637177