IFinance.YieldMat

Fore Syntax

YieldMat(Settlement: DateTime;

Maturity: DateTime;

Issue: DateTime;

Rate: Double;

Price: Double;

Basis: Integer): Double;

Fore.NET Syntax

YieldMat(Settlement: System.DateTime;

Maturity: System.DateTime;

Issue: System.DateTime;

Rate: double;

Price: double;

Basis: integer): double;

Parameters

Parameters	Description	Constraints
Settlement	Securities settlement date.	Must be less than Maturity.
Maturity	Securities maturity date.	Must be greater than Settlement.
Issue	Securities issue date.	Must be less than Settlement.
Rate	Securities interest rate on the issue date.	Cannot be negative.
Price	Securities price for $100 of face value.	Must be positive.
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 YieldMat method returns the annual yield of a security that pays interest at maturity.

Comments

YieldMat is calculated using the following formula:

Where:

B. The number of days in a year (depends on the selected Basis argument value).
D1. The number of days from issue date to maturity date.
D2. The number of days from coupon issue date to settlement date.
D3. The number of days from settlement date to maturity date.

Fore Example

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

Sub UserProc;
Var
    r: Double;
Begin
    r := Finance.YieldMat(DateTime.ComposeDay(2008,01,01),
        DateTime.ComposeDay(2008,06,01), DateTime.ComposeDay(2007,10,01), 0.15, 145.8, 0);
    Debug.WriteLine(r);
End Sub UserProc;

After executing the example the console window displays the annual yield of securities equal to -0.6347.

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(2008,01,01);
    DateTime2 := New DateTime(2008,06,01);
    DateTime3 := New DateTime(2007,10,01);
    r := Finance.YieldMat(DateTime1, DateTime2, DateTime3, 0.15, 145.8, 0);
    System.Diagnostics.Debug.WriteLine(r);
End Sub;