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XLeratorDB/financial Documentation

SQL Server ODDFYIELD function


ODDFYIELD

Updated: 31 May 2014


Use ODDFYIELD to calculate the yield of a security with an odd first period. There is no closed-form solution for calculating the yield when there is more than on coupon period to redemption; the solution is found by iteration.
Syntax
SELECT [wctFinancial].[wct].[ODDFYIELD](
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Issue, datetime,>
 ,<@First_coupon, datetime,>
 ,<@Rate, float,>
 ,<@Pr, float,>
 ,<@Redemption, float,>
 ,<@Frequency, float,>
 ,<@Basis, nvarchar(4000),>)
Arguments
@Settlement
the settlement date of the security. @Settlement is an expression that returns a datetime or smalldatetime value, or a character string in date format. 
@Maturity
the maturity date of the security. @Maturity is an expression that returns a datetime or smalldatetime value, or a character string in date format. 
@Issue
the issue date of the security; the date from which the security starts accruing interest. @Issue is an expression that returns a datetime or smalldatetime value, or a character string in date format. 
@First_coupon
the first coupon date of the security. The period from the issue date until the first coupon date defines the odd interest period. All subsequent coupon dates are assumed to occur at regular periodic intervals as defined by @Frequency. @First_coupon is an expression that returns a datetime or smalldatetime value, or a character string in date format. 
@Rate
the security’s annual coupon rate. @Rate is an expression of type float or of a type that can be implicitly converted to float.
@Pr
the price of the security. @Pr is an expression of type float or of a type that can be implicitly converted to float.
@Redemption
the security’s redemption value per 100 face value. @Redemption is an expression of type float or of a type that can be implicitly converted to float.
@Frequency
the number of coupon payments per year. For annual payments, @Frequency = 1; for semi-annual, @Frequency = 2; for quarterly, @Frequency = 4; for bimonthly @Frequency = 6; for monthly, @Frequency = 12. For bonds with @Basis = 'A/364' or 9, you can enter 364 for payments made every 52 weeks, 182 for payments made every 26 weeks, 91 for payments made every 13 weeks, 28 for payments made every 4 weeks, 14 for payments made every 2 weeks, and 7 for weekly payments. @Frequency is an expression of type float or of a type that can be implicitly converted to float.
@Basis
is the type of day count to use. @Basis is an expression of the character string data type category.
 
@Basis
Day count basis
0, 'BOND'
US (NASD) 30/360
1, 'ACTUAL'
Actual/Actual
2, 'A360'
Actual/360
3, 'A365'
Actual/365
4, '30E/360 (ISDA)', '30E/360', 'ISDA', '30E/360 ISDA', 'EBOND'
European 30/360
5, '30/360', '30/360 ISDA', 'GERMAN'
30/360 ISDA
6, 'NL/ACT'
No Leap Year/ACT
7, 'NL/365'
No Leap Year /365
8, 'NL/360'
No Leap Year /360
9, 'A/364'
Actual/364
10, 'BOND NON-EOM'
US (NASD) 30/360 non-end-of-month
11, 'ACTUAL NON-EOM'
Actual/Actual non-end-of-month
12, 'A360 NON-EOM'
Actual/360 non-end-of-month
13, 'A365 NON-EOM'
Actual/365 non-end-of-month
14, '30E/360 NON-EOM', '30E/360 ICMA NON-EOM', 'EBOND NON-EOM'
European 30/360 non-end-of-month
15, '30/360 NON-EOM', '30/360 ISDA NON-EOM', 'GERMAN NON-EOM'
30/360 ISDA non-end-of-month
16, 'NL/ACT NON-EOM'
No Leap Year/ACT non-end-of-month
17, 'NL/365 NON-EOM'
No Leap Year/365 non-end-of-month
18, 'NL/360 NON-EOM'
No Leap Year/360 non-end-of-month
19, 'A/364 NON-EOM'
Actual/364 non-end-of-month
 
Return Type
float
Remarks
·         If @Settlement is NULL then @Settlement = GETDATE().
·         If @Rate is NULL then @Rate = 0.
·         If @Redemption is NULL then @Redemption = 100.
·         If @Frequency is NULL then @Frequency = 2.
·         If @Basis is NULL then @Basis = 0.
·         If @Frequency is any number other than 1, 2, 4, 6 or 12, or for @Basis = 'A/364' any number other than 1, 2, 4, 6, or 12 as well as 7, 14, 28, 91, 182, or 364 ODDFYIELD returns an error.
·         If @Basis invalid (see above list), ODDFYIELD returns an error.
·         If @Settlement >= @First_coupon then ODDFYIELD calls the YIELD function.
·         If @Maturity is NULL then an error is returned.
·         If @Issue is NULL then an error is returned.
·         If @First_coupon is NULL then an error is returned.
·         If @Price is NULL than an error is returned.
Examples
This bond has an odd short first coupon (meaning that the first coupon period is shorter than a normal coupon period) and settles on the issue date.
SELECT
   wct.ODDFYIELD(
      '2014-05-01',     --@Settlement
      '2034-06-15',     --@Maturity
      '2014-05-01',     --@Issue
      '2014-06-15',     --@FirstCoupon
      0.025,            --@Rate
      96.007563,        --@Price
      100,              --@Redemption
      2,                --@Frequency
      1                 --@Basis
      ) as ODDFYIELD
This produces the following result.
             ODDFYIELD
----------------------
     0.027600000071916


This bond has odd long first coupon (meaning that the first coupon period is longer than a normal coupon period) and settles on the issue date.
SELECT
   wct.ODDFYIELD(
      '2014-05-01',     --@Settlement
      '2034-06-15',     --@Maturity
      '2014-05-01',     --@Issue
      '2014-12-15',     --@FirstCoupon
      0.025,            --@Rate
      96.003370,        --@Price
      100,              --@Redemption
      2,                --@Frequency
      1                 --@Basis
      ) as ODDFYIELD
This produces the following result.
             ODDFYIELD
----------------------
    0.0276000001919645


Here we calculate the yield of a bond with an odd short first coupon with semi-annual coupons payable on March 30th and September 30th.
SELECT
   wct.ODDFYIELD(
      '2014-03-15',     --@Settlement
      '2034-09-30',     --@Maturity
      '2014-03-01',     --@Issue
      '2014-03-30',     --@FirstCoupon
      0.0257,           --@Rate
      98.116208,        --@Price
      100,              --@Redemption
      2,                --@Frequency
      11                --@Basis
      ) as ODDFYIELD
This produces the following result.
             ODDFYIELD
----------------------
    0.0268999998598751


Here's an example of the yield calculation returning a negative yield.
SELECT
   wct.ODDFYIELD(
      '2014-03-15',     --@Settlement
      '2024-09-30',     --@Maturity
      '2014-03-01',     --@Issue
      '2014-03-30',     --@FirstCoupon
      0.0157,           --@Rate
      119.276365,       --@Price
      100,              --@Redemption
      2,                --@Frequency
      11                --@Basis
      ) as ODDFYIELD
This produces the following result.
             ODDFYIELD
----------------------
 -0.00234999962106698


This is an example of a bond paying interest every 26 weeks.
SELECT
   wct.ODDFYIELD(
      '2014-10-04',     --@Settlement
      '2029-12-12',     --@Maturity
      '2014-03-26',     --@Issue
      '2014-12-31',     --@FirstCoupon
      0.1250,           --@Rate
      110.842432897841, --@Price
      100,              --@Redemption
      182,              --@Frequency
      9                 --@Basis
      ) as ODDFYIELD
This produces the following result.
             ODDFYIELD
----------------------
     0.109999999995316

 

See Also

 



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