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 = datetime(2000,2,7); Maturity = datetime(2000,4,13); Issue = datetime(1999,10,11); Face = 100; Price = 99.98; CouponRate = 0.0608; Basis = 1; Yield = yldmat(Settle, Maturity, Issue, Face, Price, CouponRate, Basis)
Yield = 0.0607
Input Arguments
Settle
— Settlement date of security
datetime array | string array | date character vector
Settlement date of the security, specified using a datetime array,
string array, or date character vectors. The Settle
date
must be before the Maturity
date.
To support existing code, yldmat
also
accepts serial date numbers as inputs, but they are not recommended.
Data Types: char
| string
| datetime
Maturity
— Maturity date of security
datetime array | string array | date character vector
Maturity date of the security, specified using a datetime array, string array, or date character vectors.
To support existing code, yldmat
also
accepts serial date numbers as inputs, but they are not recommended.
Data Types: char
| string
| datetime
Issue
— Issue date of security
datetime array | string array | date character vector
Issue date of the security, specified using a datetime array, string array, or date character vectors.
To support existing code, yldmat
also
accepts serial date numbers as inputs, but they are not recommended.
Data Types: char
| string
| datetime
Face
— Redemption value of security
numeric
Redemption value (par value) of the security, specified as a scalar or vector using numeric values.
Data Types: double
Price
— Price of security
numeric
Price of the security, specified as a scalar or vector using numeric values.
Data Types: double
CouponRate
— Coupon rate of security
decimal fraction
Coupon rate of the security, specified as a scalar or a vector using decimal fractions.
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 as a scalar or vector 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 scalar or vector of numeric values.
References
[1] Mayle, J. Standard Securities Calculation Methods. Volumes I-II, 3rd edition. Formula 3.
Version History
Introduced before R2006aR2022b: Serial date numbers not recommended
Although yldmat
supports serial date numbers,
datetime
values are recommended instead. The
datetime
data type provides flexible date and time
formats, storage out to nanosecond precision, and properties to account for time
zones and daylight saving time.
To convert serial date numbers or text to datetime
values, use the datetime
function. For example:
t = datetime(738427.656845093,"ConvertFrom","datenum"); y = year(t)
y = 2021
There are no plans to remove support for serial date number inputs.
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