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XLeratorDB/financial Documentation

SQL Server ADJCURRYIELD function


ADJCURRYIELD
Updated: 03 Mar 2017

Use the scalar function ADJCURRYIELD to calculate the adjusted current yield for a bond. The formula for the adjusted current yield is:

Where
R =the coupon rate expressed as decimal (1% = .01)
P =the clean price
Y =the year fraction from settlement date to maturity date.
Syntax
SELECT [wct].[ADJCURRYIELD] (
   <@Settlement, datetime,>
  ,<@Maturity, datetime,>
  ,<@Price, float,>
  ,<@Rate, float,>
  ,<@Basis, nvarchar(4000),>)
Arguments
Input NameDescription
@SettlementSettlement date of the transaction. @Settlement must be of type datetime or of a type that implicitly converts to datetime.
@MaturitySettlement date of the transaction. @Settlement must be of type datetime or of a type that implicitly converts to datetime.
@PriceClean price. @Price must of a type float or of a type that implicitly converts to float.
@RateCoupon rate of the instrument expressed as decimal (1% = .01). @Rate must be of type float or of a type that implicitly converts to float.
@BasisThe day-count convention used in the calculation of the year fraction from @Settlement to @Maturity. See YEARFRAC for valid day-count conventions.
Return Types
float
Remarks
  • If @Settlement is NULL then @Settlement = GETDATE()
  • If @Maturity is NULL then @Maturity = GETDATE()
  • If @Price is NULL then @Price = 100
  • If @Rate is NULL then @Rate = 0
  • If @Basis is NULL then @Basis = 0
  • Available in XLeratorDB / financial 2008 only
Examples
SELECT wct.ADJCURRYIELD(
     '2017-03-03'    --@Settlement
    ,'2024-04-01'    --@Maturity
    ,101.94          --@Price
    ,0.02575        --Rate
    ,'ACTUAL'        --@Basis
    ) as [Adj Curr Yield]

This produces the following result.

See Also


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