Function SecurityDiscountedYield(SettlementDate, MaturityDate, Price, Redemption, Basis)

SecurityDiscountedYield

The function SecurityDiscountedYield returns the yield of a discounted security at maturity date.

SecurityDiscountedYield(
    SettlementDate,  ! (input) scalar string expression
    MaturityDate,    ! (input) scalar string expression
    Price,           ! (input) numerical expression
    Redemption,      ! (input) numerical expression
    [Basis]          ! (optional) numerical expression
    )

Arguments

SettlementDate

The date of settlement of the security. SettlementDate must be given in a date format.

MaturityDate

The date of maturity of the security. MaturityDate must also be in date format and must be a date after SettlementDate.

Price

The price of the security at settlement date. Price must be a positive real number.

Redemption

The amount repaid at maturity date. Redemption must be a positive real number.

Basis

The day-count basis method to be used. The default is 1.

Return Value

The function SecurityDiscountedYield returns the annual rate the security’s value increases as a fraction of the price.

Note

  • This function can be used in an objective function or constraint and the input parameters Price and Redemption can be used as a variable.

  • The function SecurityDiscountedYield is similar to the Excel function YIELDDISC.

Example

Knowing price, redemption, and length period; what was the interest (with respect to price)?

_p_sdf := SecurityDiscountedYield(
    SettlementDate :  "2024-01-01",
    MaturityDate   :  "2025-01-01",
    Price          :  90,
    Redemption     :  100,
    Basis          :  1);
block where single_column_display := 1, listing_number_precision := 6 ;
    display _p_sdf ;
endblock ;

This results in the following interest:

_p_sdf := 0.111111 ;

References