- Function SecurityPeriodicYield(SettlementDate, MaturityDate, ParValue, Price, Redemption, Frequency, CouponRate, Basis, LowerBound, UpperBound, Error)
SecurityPeriodicYield
The function SecurityPeriodicYield
returns the yield of a security
that pays interest at the end of each coupon period. This function uses
the procedure SecurityPeriodicYieldAll
to determine all possible
yields and returns the yield that is within the specified bounds.
SecurityPeriodicYield(
SettlementDate, ! (input) scalar string expression
MaturityDate, ! (input) scalar string expression
ParValue, ! (input) numerical expression
Price, ! (input) numerical expression
Redemption, ! (input) numerical expression
Frequency, ! (input) numerical expression
CouponRate, ! (input) numerical expression
[Basis,] ! (optional) numerical expression
[LowerBound,] ! (optional) numerical expression
[UpperBound,] ! (optional) numerical expression
[Error] ! (optional) numerical expression
)
Arguments
- SettlementDate
The date of settlement of the security. SettlementDate must be in date format.
- 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.
- Redemption
The amount repaid for the security at the maturity date. Redemption must be a positive real number.
- Frequency
The number of coupon payments in one year. Frequency must be 1 (annual), 2 (semi-annual) or 4 (quarterly).
- 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.
- LowerBound
Indicates a minimum for the yield to be accepted by this function. The default is \(-1\).
- UpperBound
Indicates a maximum for the yield to be accepted by this function. The default is \(5\).
- Error
Indicates whether AIMMS should give an error if multiple solutions are found that satisfy the bounds. \(Error = 0\): if multiple solutions are found, return the solution with the smallest absolute value. \(Error = 1\): if multiple solutions are found, return an error message. The default is \(0\).
Return Value
The function
SecurityPeriodicYield
returns the yield of a security that pays interest at the end of each coupon period.
Note
This function can be used in an objective function or constraint and the input parameters ParValue, Price, Redemption, and CouponRate can be used as a variable.
The function
SecurityPeriodicYield
is similar to the Excel functionYIELD
.