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cfyield

Compute yield to maturity for cash flow given price

Description

example

Yield = cfyield(CFlowAmounts,CFlowDates,Price,Settle) computes yield to maturity for a cash flow given price.

example

Yield = cfyield(___,Name,Value) specifies options using one or more name-value pair arguments in addition to the input arguments in the previous syntax.

Examples

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Use cfyield to compute yield to maturity for a cash flow when given a price.

Define data for the yield curve and price.

Settle = datetime(2003,7,1);
Price = 98;
CFlowAmounts = [30 40 30];
CFlowDates = [datetime(2004,7,15) ; datetime(2005,7,15) ; datetime(2006,7,15)]'; 

Compute the Yield.

 Yield = cfyield(CFlowAmounts, CFlowDates, Price, Settle)
Yield = 0.0099

Input Arguments

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Cash flow amounts, specified as an NINST-by-MOSTCFS matrix. Each row is a list of cash flow values for one instrument. If an instrument has fewer than MOSTCFS cash flows, the end of the row is padded with NaNs.

Data Types: double

Cash flow dates, specified as an NINST-by-MOSTCFS matrix using a datetime array, string array, or date character vectors. Each entry contains the date of the corresponding cash flow in CFlowAmounts.

To support existing code, cfyield also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Prices specified as an NINST-by-1 vector.

Data Types: double

Settlement date, specified as an NMBS-by-1 vector using a datetime array, string array, or date character vectors. The Settle date is the date on which the cash flows are priced.

To support existing code, cfyield also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Example: Yield = cfyield(CFAmounts,CFDates,Yield,Settle,'Basis',4,'CompoundingFrequency',4)

Note

An optional input of size NINST-by-1 is also acceptable as a single value applicable to all contracts. Single values are internally expanded to an array of size NINST-by-1.

Day-count basis, specified as the comma-separated pair consisting of 'Basis' and a positive integer using a N-by-1 vector.

  • 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

Compounding frequency, specified as the comma-separated pair consisting of 'CompoundingFrequency' and a positive integer using a N-by-1 vector.

  • 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

Compounding frequency for yield calculation, specified as the comma-separated pair consisting of 'CompundingFrequency' and a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS vector.

  • 1 — Annual compounding

  • 2 — Semiannual compounding

  • 3 — Compounding three times per year

  • 4 — Quarterly compounding

  • 6 — Bimonthly compounding

  • 12 — Monthly compounding

Note

By default, SIA bases (0-7) and BUS/252 use a semiannual compounding convention and ICMA bases (8-12) use an annual compounding convention.

Data Types: double

Output Arguments

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Yield for cash flows, returned as an NINST-by-1 vector.

Version History

Introduced in R2012a

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See Also

(Financial Instruments Toolbox) | | |