OFLYIELD
Updated: 30 June 2014
Use OFLYIELD to calculate the yield from price per 100 face value of a bond with an odd first period and an odd last period. There is no closedform solution for calculating the yield when there is more than one period to redemption; the solution is found by iteration.
Syntax
SELECT [wctFinancial].[wct].[OFLYIELD](
<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Issue, datetime,>
,<@First_coupon, datetime,>
,<@Last_coupon, datetime,>
,<@Rate, float,>
,<@Price, float,>
,<@Redemption, float,>
,<@Frequency, float,>
,<@Basis, nvarchar(4000),>)
Arguments
@Settlement
the settlement date of the bond. @Settlement is an expression that returns a datetime or smalldatetime value, or a character string in date format.
@Maturity
the maturity date of the bond. @Maturity is an expression that returns a datetime or smalldatetime value, or a character string in date format.
@Issue
the issue date of the bond; the date from which the bond 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 bond. The period from the issue date until the first coupon date defines the odd interest period. All coupon dates from @First_coupon to @Last_coupon 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.
@Last_coupon
the last coupon date of the bond prior to the maturity. The period from the last interest date until the maturity date defines the odd interest period. All coupon dates from @First_coupon to @Last_coupon are assumed to occur at regular periodic intervals as defined by @Frequency. @Last_coupon is an expression that returns a datetime or smalldatetime value, or a character string in date format.
@Rate
the bondâ€™s annual coupon rate. @Rate is an expression of type float or of a type that can be implicitly converted to float.
@Price
the price of the bond. @Price is an expression of type float or of a type that can be implicitly converted to float.
@Redemption
the bondâ€™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 semiannual, @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 NONEOM'

US (NASD) 30/360 nonendofmonth

11, 'ACTUAL NONEOM'

Actual/Actual nonendofmonth

12, 'A360 NONEOM'

Actual/360 nonendofmonth

13, 'A365 NONEOM'

Actual/365 nonendofmonth

14, '30E/360 NONEOM', '30E/360 ICMA NONEOM', 'EBOND NONEOM'

European 30/360 nonendofmonth

15, '30/360 NONEOM', '30/360 ISDA NONEOM', 'GERMAN NONEOM'

30/360 ISDA nonendofmonth

16, 'NL/ACT NONEOM'

No Leap Year/ACT nonendofmonth

17, 'NL/365 NONEOM'

No Leap Year/365 nonendofmonth

18, 'NL/360 NONEOM'

No Leap Year/360 nonendofmonth

19, 'A/364 NONEOM'

Actual/364 nonendofmonth

Remarks
Â· If @Settlement is NULL then @Settlement = GETDATE().
Â· If @Rate is NULL then @Rate = 0.
Â· If @Price is NULL then @Price = 100.
Â· If @Redemption is NULL then @Redemption = 100.
Â· If @Frequency is NULL then @Frequency = 2.
Â· If @Basis is NULL then @Basis = 0.
Â· 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 OFLYIELD returns an error.
Â· If @Basis is invalid (see above list), OFLYIELD returns an error.
Â· If @Maturity is NULL then an error is returned.
Â· If @Last_coupon is NULL then an error is returned.
Â· If @First_coupon is NULL then an error is returned.
Â· If @Issue is NULL then an error is returned.
Â· If @Settlement >= @First_coupon then the yield is calculated using ODDLYIELD.
Example
This is a bond with an odd short first coupon and an odd short last coupon.
SELECT
wct.OFLYIELD(
'20130304' @Settlement
,'20220428' @Maturity
,'20121207' @Issue
,'20130315' @First_coupon
,'20220315' @Last_coupon
,.03125 @Rate
,102.000362 @Price
,100 @Redemption
,2 @Frequency
,1 @Basis
) as YIELD
This produces the following result.
YIELD

0.0287500003109707
This is a bond with an odd long first coupon and an odd long last coupon.
SELECT
wct.OFLYIELD(
'20130304' @Settlement
,'20221128' @Maturity
,'20120607' @Issue
,'20130315' @First_coupon
,'20220315' @Last_coupon
,.03125 @Rate
,102.103433 @Price
,100 @Redemption
,2 @Frequency
,1 @Basis
) as YIELD
This produces the following result.
YIELD

0.0287500005099486
This is a bond with an odd long first coupon and an odd short last coupon.
SELECT
wct.OFLYIELD(
'20130304' @Settlement
,'20220428' @Maturity
,'20120607' @Issue
,'20130315' @First_coupon
,'20220315' @Last_coupon
,.03125 @Rate
,101.999005 @Price
,100 @Redemption
,2 @Frequency
,1 @Basis
) as YIELD
This produces the following result.
YIELD

0.0287499997059464
This is a bond with an odd short first coupon and an odd long last coupon.
SELECT
wct.OFLYIELD(
'20130304' @Settlement
,'20221128' @Maturity
,'20121207' @Issue
,'20130315' @First_coupon
,'20220315' @Last_coupon
,.03125 @Rate
,102.104791 @Price
,100 @Redemption
,2 @Frequency
,1 @Basis
) as YIELD
This produces the following result.
YIELD

0.0287499999118962
This is an example of a bond paying interest every 26 weeks.
SELECT
wct.OFLYIELD(
'20141004' @Settlement
,'20291212' @Maturity
,'20140730' @Issue
,'20150318' @First_coupon
,'20290228' @Last_coupon
,.1250 @Rate
, 110.846098828263 @Price
,100 @Redemption
,182 @Frequency
,9 @Basis
) as YIELD
This produces the following result.
YIELD

0.109999999995322
See Also