- 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 percentage 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 functionYIELDDISC
.