Function SecurityMaturityYield(IssueDate, SettlementDate, MaturityDate, ParValue, Price, CouponRate, Basis)

SecurityMaturityYield

The function SecurityMaturityYield returns the yield of a security that pays interest at maturity.

SecurityMaturityYield(
    IssueDate,                ! (input) scalar string expression
    SettlementDate,           ! (input) scalar string expression
    MaturityDate,             ! (input) scalar string expression
    ParValue,                 ! (input) numerical expression
    Price,                    ! (input) numerical expression
    CouponRate,               ! (input) numerical expression
    [Basis]                   ! (optional) numerical expression
    )

Arguments

IssueDate

The date of issue of the security. IssueDate must be given in date format.

SettlementDate

The date of settlement of the security. SettlementDate must also be in date format and must be a date after IssueDate.

MaturityDate

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

ParValue

The starting value of the security at issue date. ParValue must be a positive real number.

Price

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

CouponRate

The annual interest rate of the security as a percentage of the par value. CouponRate must be a nonnegative real number.

Basis

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

Return Value

The function SecurityMaturityYield 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 ParValue, Price, and CouponRate can be used as a variable.

  • The function SecurityMaturityYield is similar to the Excel function YIELDMAT.

Example

The code:

_p_smy := SecurityMaturityYield(
    IssueDate      :  "2020-01-01",
    SettlementDate :  "2024-01-01",
    MaturityDate   :  "2025-01-01",
    ParValue       :  100,
    Price          :  99,
    CouponRate     :  0.05,
    Basis          :  1);
block where single_column_display := 1, listing_number_precision := 6 ;
    display _p_smy ;
endblock ;

Produces in the listing file:

_p_smy := 0.050420 ;

See also