IFinance.OddlYield

Fore Syntax

OddlYield(Settlement: DateTime;

Maturity: DateTime;

LastCouponDate: DateTime;

Rate: Double;

Price: Double;

Redemption: Double;

Frequency: Integer;

Basis: Integer): Double;

Fore.NET Syntax

OddlYield(Settlement: System.DateTime;

Maturity: System.DateTime;

LastCouponDate: System.DateTime;

Rate: double;

Price: double;

Redemption: double;

Frequency: integer;

Basis: integer): double;

Parameters

Parameters	Description	Constraints
Settlement	Securities settlement date.	Must be greater than LastCouponDate.
Maturity	Securities maturity date.	Must be greater than Settlement.
LastCouponDate	Securities last coupon date.	Must be less than Settlement.
Rate	Securities interest rate.	Cannot be negative.
Price	Securities value.	Cannot be negative.
Redemption	Redemption price for $100 of principal value.	Must be positive.
Frequency	The number of payments for coupons in a year: 1 - For annual payments. 2 - For semi-annual payments. 4 - For quarterly payments.	Must take the values 1, 2 or 4.
Basis	The method of day calculation in use: 0 - American/360 days (NSAD method). 1 - Factual/factual. 2 - Factual/360days. 3 - Factual/365 days. 4 - European 30/360 days.	Must be in the [0,4] interval.

Description

The OddfYield method returns profit for securities with irregular (short or long) last period.

Comments

OddlYield is calculated using the following formula:

Where:

Aj. The number of accumulated days for the j-th or last quasi coupon period in an irregular period, counted forward from the date of the last payment before maturity.

DCj. The number of days, counted for the j-th or last quasi coupon period, divided by the length of the actual coupon period.

NC. The number of quasi coupon periods, which fits in an irregular period. If this number is fractional, it is rounded up to the next integer.

NLj. Normal length in days of the full j-th or last quasi coupon period in an irregular period.

Fore Example

To execute the example, add a link to the MathFin system assembly.

Sub UserProc;
Var
    r: Double;
Begin
    r := Finance.OddlYield(DateTime.ComposeDay(2008,04,20), DateTime.ComposeDay(2008,06,15),
        DateTime.ComposeDay(2007,12,24), 0.0275, 101.82, 102, 4, 3);
    Debug.WriteLine(r);
End Sub UserProc;

After executing the example the console window displays the profit equal to 3.83%.

Fore.NET Example

The requirements and result of the Fore.NET example execution match with those in the Fore example.

Imports Prognoz.Platform.Interop.MathFin;
…
Public Shared Sub Main(Params: StartParams);
Var
    r: double;
    Finance: FinanceClass = New FinanceClass();
    DateTime1, DateTime2, DateTime3: System.DateTime;
Begin
    DateTime1 := New DateTime(2008,04,20);
    DateTime2 := New DateTime(2008,06,15);
    DateTime3 := New DateTime(2007,12,24);
    r := Finance.OddlYield(DateTime1, DateTime2, DateTime3, 0.0275, 101.82, 102, 4, 3);
    System.Diagnostics.Debug.WriteLine(r);
End Sub;