ylddisc

Yield of discounted security

Syntax

Yield = ylddisc(Settle, Maturity, Face, Price, Basis)

Arguments

Settle

Settlement date. Enter as serial date number or date string. Settle must be earlier than Maturity.

Maturity

Maturity date. Enter as serial date number or date string.

Face

Redemption (par, face) value.

Price

Discounted price of the security.

Basis

(Optional) Day-count basis of the instrument. A vector of integers.

  • 0 = actual/actual (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (BMA)

  • 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/actual (ISDA)

  • 13 = BUS/252

For more information, see basis.

Description

Yield = ylddisc(Settle, Maturity, Face, Price, Basis) finds the yield of a discounted security.

Examples

expand all

Find the Yield of a Discounted Security

This example shows how to find the yield of the following discounted security.

Settle = '10/14/2000';
Maturity = '03/17/2001';
Face = 100;
Price = 96.28;
Basis = 2;

Yield = ylddisc(Settle, Maturity, Face, Price, Basis)
Yield =

    0.0903

References

Mayle, Standard Securities Calculation Methods, Volumes I-II, 3rd edition. Formula 1.

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