YIELD_MATURITY Function

Evaluates the annual yield of a security that pays interest at maturity.

Usage

result = YIELD_MATURITY(settlement, maturity, issue, rate, price, basis)

Input Parameters

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 PV‑WAVE User Guide.

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 PV‑WAVE User Guide.

issue—The date on which interest starts accruing. For a more detailed discussion on dates see Chapter 8, Working with Date/Time Data in the PV‑WAVE User Guide.

rate—Interest rate at date of issue of the security.

price—Price 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.

0—Actual/Actual

1—US (NASD) 30/360

2—Actual/360

3—Actual/365

4—European 30/360

Returned Value

result—The annual yield of a security that pays interest at maturity. If no result can be computed, NaN is returned.

Input Keywords

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

Discussion

Function YIELD_MATURITY computes the annual yield of a security that pays interest at maturity.

It is computed using the following:

 

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

Example

In this example, YIELD_MATURITY computes the annual yield of a security that pays interest at maturity which is selling at $95.40663 with the settlement date of August 1, 2000, the issue date of July 1, 2000, the maturity date of July 1, 2010, and the interest rate of 6% at the issue using the US (NASD) 30/360 day count method.

settlement = VAR_TO_DT(2000, 8, 1)

maturity = VAR_TO_DT(2010, 7, 1)

issue = VAR_TO_DT(2000, 7, 1)

rate = .06

price = 95.40663

basis = 1

PRINT, YIELD_MATURITY(settlement, maturity, issue, $

   rate, price, basis)

; PV-WAVE prints: 0.0673905