Difference between revisions of "Documentation/How Tos/Calc: YIELDMAT function"
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Revision as of 09:56, 24 November 2009
YIELDMAT
Calculates the yield for a bond that pays interest on maturity.
Syntax:
YIELDMAT(settlementdate; maturitydate; issuedate; rate; price; basis)
- settlementdate: the settlement (purchase) date of the bond.
- maturitydate: the maturity (redemption) date of the bond.
- issuedate: the original issue date of the bond.
- rate: the (annual) interest rate of the bond (interest only paid at maturity).
- price: the price of the bond, per 100 par value.
- basis: is the calendar system to use. Defaults to 0 if omitted.
- 0 - US method (NASD), 12 months of 30 days each
- 1 - Actual number of days in months, actual number of days in year
- 2 - Actual number of days in month, year has 360 days
- 3 - Actual number of days in month, year has 365 days
- 4 - European method, 12 months of 30 days each
- This function calculates the yield for a bond which pays interest just once, at maturity.
- YIELDMAT returns the yield given by this equation::
- 1 + yield*YEARFRAC(settlementdate;maturitydate;basis) = maturity_value/settlement_value.
- See Derivation of Financial Formulas for more details of this equation.
Example:
YIELDMAT("2007-02-15"; "2007-04-06"; "2007-01-06"; 5%; 99; 0)
- returns approximately 0.1211. You purchase and settle a bond on 15 February 2007; the (90 day) bond was issued on 6th January 2007 and will mature on 6th April 2007, yielding its face value of $1000 and an interest payment of $1000 * 5%*90/360. The price is 99, giving a value of $990; the yield to maurity is about 12.11%.
Issues:
- There are (rare) circumstances when the results from Calc and Excel differ, due to the internal use of YEARFRAC.
- The formula uses takes no account of the compounding of interest. For periods over a year use appropriate care when interpreting the yield.
- The yield is calculated as at the date of settlement (when the money changes hands). The contract to buy the bond may predate that (for example by 3 days).
