IFinance.RedemptionYield

Syntax

RedemptionYield(

Price: Double;

AccumulateIncome: Double;

CouponsDates: Array;

Coupons: Array;

PaymentsDates: Array;

Payments: Array;

Settlement: DateTime): Double;

Parameters

Parameters	Description	Constraints
Price	Bond price.	Must be positive.
AccumulateIncome	Accumulated coupon income.	Cannot be negative.
CouponsDates	Array with payment dates by coupon.	It is required to use an array of the DateTime type.
Coupons	Array with coupons' size.	It is required to use an array of the Double type.
PaymentsDates	Array with payment dates of face value.	It is required to use an array of the DateTime type.
Payments	Array with payment size of face value.	It is required to use an array of the Double type.
Settlement	Date at which the calculation is performed.	Must be less than each element of the CouponsDates and PaymentsDates arrays.

Description

The RedemptionYield method returns effective redemption yield.

Comments

Effective bill rate is calculated based on calculating of the following equation:

Where:

P. Bond price.
A. Accumulated coupon income.
Y. Effective redemption yield, with annual interest.
ti. The number of days to payment of the i-th coupon.
n. Number of coupons.
rj. The date before the j-th payment of principal value (in days).
m. Number of payments for the principal debt amount.
Ci. Size of the appropriate coupon.
Nj. Size of the payment corresponding to the payment date of face value.

The equation is solved for the Y variable, which is to be found.

The size of the CouponsDates array must correspond to the size of the Coupons array.

The size of the PaymentsDates array must correspond to the size of the Payments array.

Example

Add link to the MathFin system assembly.

Sub UserProc;
Var
    Price, AccumulateIncome, Result: Double;
    CouponsDates: Array[5] Of DateTime;
    Coupons: Array[5] Of Double;
    PaymentsDates: Array[2] Of DateTime;
    Payments: Array[2] Of Double;
    Settlement: DateTime;
Begin
    // Bond price
    Price := 1150;
    // Accumulated income by coupons
    AccumulateIncome := 40;
    // Array with payment dates by coupon
    CouponsDates[0] := DateTime.ComposeDay(2006, 1, 1);
    CouponsDates[1] := DateTime.ComposeDay(2006, 4, 1);
    CouponsDates[2] := DateTime.ComposeDay(2006, 7, 1);
    CouponsDates[3] := DateTime.ComposeDay(2006, 10, 1);
    CouponsDates[4] := DateTime.ComposeDay(2007, 1, 1);
    // Array with coupon sizes
    Coupons[0] := 80;
    Coupons[1] := 80;
    Coupons[2] := 80;
    Coupons[3] := 80;
    Coupons[4] := 80;
    // Array with payment dates of face value
    PaymentsDates[0] := DateTime.ComposeDay(2007, 1, 1);
    PaymentsDates[1] := DateTime.ComposeDay(2007, 4, 1);
    // Array with face value payments
    Payments[0] := 500;
    Payments[1] := 500;
    Settlement := DateTime.ComposeDay(2005, 11, 15); // Date, to which calculation is executed
    // Method result string
    Result := Finace.RedemptionYield(Price, AccumulateIncome, CouponsDates, Coupons, PaymentsDates, Payments, Settlement);
    debug.WriteLine(Result); // Output result into console window
    debug.WriteLine(Finance.ErrorMsg);
End Sub UserProc;

After executing the example the console window displays the effective yield equal to 16.51%.