XLeratorDB/financial Documentation
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 Name | Description |
| @Settlement | Settlement date of the transaction. @Settlement must be of type datetime or of a type that implicitly converts to datetime. |
| @Maturity | Settlement date of the transaction. @Settlement must be of type datetime or of a type that implicitly converts to datetime. |
| @Price | Clean price. @Price must of a type float or of a type that implicitly converts to float. |
| @Rate | Coupon rate of the instrument expressed as decimal (1% = .01). @Rate must be of type float or of a type that implicitly converts to float. |
| @Basis | The 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'
,'2024-04-01'
,101.94
,0.02575
,'ACTUAL'
) as [Adj Curr Yield]
This produces the following result.
See Also