YIELDMAT
Updated: 10 October 2014
Use YIELDMAT to calculate the annual yield of a security that pays interest at maturity. The YIELDMAT formula is:
Where:
|
A
|
=
|
Number of days from issue date to settlement date
|
|
B
|
=
|
Number of days in the year
|
|
DIM
|
=
|
Number of days from issue date to maturity date
|
|
DSM
|
=
|
Number of days from settlement date to maturity date
|
|
P
|
=
|
Price per 100 par value
|
|
R
|
=
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Annual interest rate in decimal terms
|
|
Y
|
=
|
Annual Yield
|
Syntax
SELECT [westclintech].[wct].[YIELDMAT] (
<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Issue, datetime,>
,<@Rate, float,>
,<@Pr, 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. @Issue is an expression that returns a datetime or smalldatetime value, or a character string in date format.
@Rate
the security’s interest rate as of the date of issue. @Rate is an expression of type float or of a type that can be implicitly converted to float.
@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.
@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'
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Actual/Actual
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|
2, 'A360'
|
Actual/360
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|
3, 'A365'
|
Actual/365
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4, '30E/360 (ISDA)', '30E/360', 'ISDA', '30E/360 ISDA', 'EBOND'
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European 30/360
|
|
5, '30/360', '30/360 ISDA', 'GERMAN'
|
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'
|
No Leap Year /360
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9, 'A/364'
|
Actual/364
|
Return Type
float
Remarks
· If @Settlement IS NULL then @Settlement = GETDATE()
· If @Basis is NULL then @Basis = 0
· If @Basis is invalid then YIELDMAT returns an error
Example
This security issued on 2014-07-31 matures on 2014-12-15 with an interest rate of 0.5% and a price of 100.0566557. Interest is calculated using the Actual/365 day-count convention.
SELECT
wct.YIELDMAT(
'2014-10-07' --@Settlement
,'2014-12-15' --@Maturity
,'2014-07-31' --@Issue
,0.005 --@Rate
,100.0566557 --@Price
,3 --@Basis
) as Yield
This produces the following result.
Yield
----------------------
0.00199999945283127
This security issued on 2014-08-15 matures on 2014-12-01 with an interest rate of -0.05% and a price of 99.977088. Interest is calculated using the Actual/360 day-count convention.
SELECT
wct.YIELDMAT(
'2014-10-07' --@Settlement
,'2014-12-01' --@Maturity
,'2014-08-15' --@Issue
,-0.0005 --@Rate
, 99.977088 --@Price
,2 --@Basis
) as Yield
This produces the following result.
Yield
----------------------
0.000999997275740647
This security issued on 2014-08-10 matures on 2014-11-15 with an interest rate of 0.2% and a price of 100.026392. Interest is calculated using the 30/E 360 (ISDA) day-count convention.
SELECT
wct.YIELDMAT(
'2014-10-07' --@Settlement
,'2014-11-15' --@Maturity
,'2014-08-10' --@Issue
,0.002 --@Rate
,100.026392 --@Price
,4 --@Basis
) as Yield
This produces the following result.
Yield
----------------------
-0.000500004440930901
This security issued on 2014-07-01 matures on 2014-12-29 with an interest rate of 7.0% and a price of 99.628637. Interest is calculated using the Actual/364 day-count convention.
SELECT
wct.YIELDMAT(
'2014-10-07' --@Settlement
,'2014-12-29' --@Maturity
,'2014-07-01' --@Issue
,0.07 --@Rate
,99.628637 --@Price
,9 --@Basis
) as Yield
This produces the following result.
Yield
----------------------
0.0850000161919074
See Also