Function SecurityPeriodicYieldAll(SettlementDate, MaturityDate, ParValue, Price, Redemption, Frequency, CouponRate, Yield, Yield, NumberSolutions, Basis, Mode)

SecurityPeriodicYieldAll

The procedure SecurityPeriodicYieldAll returns the yield(s) of a security that pays interest at the end of each coupon period.

SecurityPeriodicYieldAll(
    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
    Yield,             ! (output) one-dimensional numerical expression
    NumberSolutions,   ! (output) numerical expression
    [Basis,]           ! (optional) numerical expression
    [Mode]             ! (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.

Yield

The yield of the security. Yield must be a nonnegative real number.

Yield

There is not always a unique solution for yield. Dependent on Mode one solution or all the solutions will be given.

NumberSolutions

The number of solutions found. If \(Mode = 0\) NumberSolutions will always be \(1\).

Basis

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

Mode

Indicates whether all the solutions need to be found or just one. \(Mode = 0\): the search for solutions stops after one solution is found. \(Mode = 1\): the search for solutions continues till all solutions are found.

Note

• When you want to use this procedure in an objective function or constraint you have to use SecurityPeriodicYield.

• The function SecurityPeriodicYieldAll is similar to the Excel function YIELD <https://support.microsoft.com/en-us/office/yield-function-f5f5ca43-c4bd-434f-8bd2-ed3c9727a4fe>_.

Example

The code:

_s_sols := ElementRange(1,5);
SecurityPeriodicYieldAll(
    SettlementDate  :  "2024-01-01",
    MaturityDate    :  "2025-01-01",
    ParValue        :  100,
    Price           :  95,
    Redemption      :  100,
    Frequency       :  4,
    CouponRate      :  0.06,
    Yield           :  _p_yield,
    NumberSolutions :  _p_noYield,
    Basis           :  1,
    Mode            :  1);
block where single_column_display := 1, listing_number_precision := 6 ;
    display _p_noYield, _p_yield ;
endblock ;

Produces:

_p_noYield := 1 ;


_p_yield := data
{ 1 : 0.113600 } ;

References

• Day count basis methods.

• General equations for securities with multiple coupons.