yldmat
Yield with interest at maturity
Description
Examples
Find the Yield of a Security Paying Interest at Maturity
This example shows how to find the yield of a security paying interest at maturity for the following.
Settle = '02/07/2000'; Maturity = '04/13/2000'; Issue = '10/11/1999'; Face = 100; Price = 99.98; CouponRate = 0.0608; Basis = 1; Yield = yldmat(Settle, Maturity, Issue, Face, Price,... CouponRate, Basis)
Yield = 0.0607
Find the Yield of a Security Paying Interest at Maturity Using datetime Inputs
This example shows how to use datetime
inputs find the yield of a security paying interest at maturity for the following:
Settle = '7-Feb-2000'; Maturity = '13-Apr-2000'; Issue = '11-Oct-1999'; Face = 100; Price = 99.98; CouponRate = 0.0608; Basis = 1; Settle = datetime(Settle,'Locale','en_US'); Maturity = datetime(Maturity,'Locale','en_US'); Issue = datetime(Issue,'Locale','en_US'); Yield = yldmat(Settle, Maturity, Issue, Face, Price,... CouponRate, Basis)
Yield = 0.0607
Input Arguments
Settle
— Settlement date of security
serial date number | date character vector | datetime
Settlement date of the security, specified as serial date numbers,
date character vectors, or datetime arrays. The
Settle
date must be before the
Maturity
date.
Data Types: double
| char
| datetime
Maturity
— Maturity date of security
serial date number | date character vector | datetime
Maturity date of the security, specified as serial date numbers, date character vectors, or datetime arrays.
Data Types: double
| char
| datetime
Issue
— Issue date of security
serial date number | date character vector | datetime
Issue date of the security, specified as serial date numbers, date character vectors, or datetime arrays.
Data Types: double
| char
| datetime
Face
— Redemption value of security
numeric
Redemption value (par value) of the security, specified as a numeric value.
Data Types: double
Price
— Price of security
numeric
Price of the security, specified as a numeric value.
Data Types: double
CouponRate
— Coupon rate of security
decimal fraction
Coupon rate of the security, specified as a decimal fraction.
Data Types: double
Basis
— Day-count basis
0
(actual/actual) (default) | integers of the set [0...13]
| vector of integers of the set [0...13]
(Optional) Day-count basis for the security, specified using the following values:
0 = actual/actual
1 = 30/360 (SIA)
2 = actual/360
3 = actual/365
4 = 30/360 (PSA)
5 = 30/360 (ISDA)
6 = 30/360 (European)
7 = actual/365 (Japanese)
8 = actual/actual (ICMA)
9 = actual/360 (ICMA)
10 = actual/365 (ICMA)
11 = 30/360E (ICMA)
12 = actual/365 (ISDA)
13 = BUS/252
For more information, see Basis.
Data Types: double
Output Arguments
Yield
— Yield of a security paying interest at maturity
numeric
Yield of a security paying interest at maturity, returned as a numeric value.
References
[1] Mayle, J. Standard Securities Calculation Methods. Volumes I-II, 3rd edition. Formula 3.
Version History
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