YIELDDISC
Updated: 23 May 2016
Use YIELDDISC to calculate the annual yield for a discounted security; for example, a treasury bill. The YIELDDISC formula is:
Where:
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B
|
=
|
Number of days in the year
|
|
DSM
|
=
|
Number of days from settlement date to maturity date
|
|
P
|
=
|
Price per 100 par value
|
|
RV
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=
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Redemption Value
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|
Y
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=
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Yield
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Syntax
SELECT [westclintech].[wct].[YIELDDISC] (
<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Pr, float,>
,<@Redemption, 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.
@Pr
the security’s price per 100 face value. @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.
@Basis
is the type of day count to use. @Basis is an expression of the character string data type category.
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@Basis
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Day count basis
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0, 'BOND'
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US (NASD) 30/360
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1, 'ACTUAL'
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Actual/Actual
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2, 'A360'
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Actual/360
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3, 'A365'
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Actual/365
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4, '30E/360 (ISDA)', '30E/360', 'ISDA', '30E/360 ISDA', 'EBOND'
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European 30/360
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5, '30/360', '30/360 ISDA', 'GERMAN'
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30/360 ISDA
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7, 'NL/365'
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No Leap Year /365
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8, 'NL/360'
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No Leap Year /360
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9, 'A/364'
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Actual/364
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21, 'Actual/ISDA'
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Actual/ISDA
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Return Type
float
Remarks
· If @Settlement IS NULL then @Settlement = GETDATE()
· If @Basis is NULL then @Basis = 0
· If @Basis is invalid then YIELDDISC returns an error
Example
This is a security maturing on 2014-12-15 with a 100 redemption value and a price of 99.72. The yield is quoted using the Actual/365 day-count convention.
SELECT
wct.YIELDDISC(
'2014-10-07' --@Settlement
,'2014-12-15' --@Maturity
,99.72 --@Pr
,100 --@Redemption
,3 --@Basis
) as [Yield]
This produces the following result.
This is a security maturing on 2015-02-15 with a 10000 redemption value and a price of 9930.86. The yield is quoted using the Actual/360 day-count convention.
SELECT
wct.YIELDDISC (
'2014-10-07' --@Settlement
,'2015-02-15' --@Maturity
,9930.86 --@Pr
,10000 --@Redemption
,2 --@Basis
) as [Yield]
This produces the following result.
This is a security maturing on 2015-04-15 with a 1,000,000 redemption value and a price of 971291.21. The yield is quoted using the Actual/364 day-count convention.
SELECT
wct.YIELDDISC(
'2014-10-07' --@Settlement
,'2015-04-15' --@Maturity
,971291.21 --@Pr
,1000000 --@Redemption
,9 --@Basis
) as [Yield]
This produces the following result.
See Also