IFinance.YieldDisc

Syntax

YieldDisc(Settlement: DateTime; Maturity: DateTime; Price: Double; Redemption: Double; [Basis: Integer = 0]): Double;

Parameters

Settlement. The payment day on securities. Must be less than Maturity.

Maturity. The security's maturity date. Must be greater than Settlement.

Price. The security's price per $100 face value. Must be positive.

Redemption. The security's redemption price per $100 face value. Must be positive.

Basis. The day calculation method used. Select a value from 0 to 4:

0. Day calculation method - American/360 days (NSAD method). Default value.
1. Day calculation method - Actual/actual.
2. Day calculation method - Actual/360 days.
3. Day calculation method - Actual/365 days.
4. Day calculation method - European 30/360 days.

Optional parameter.

Description

The YieldDisc method returns annual profit for discounted securities.

Comments

The agreement date is the date of selling a coupon, for example, a bond, to the buyer. The payment date is the coupon expiry date. Consider a bond with duration of 30 years was issued on Jan 1 2008 and was acquired by a buyer in 6 months after the issue date. The issue date is Jan 1 2008, the settlement date - July 1 2008, and the maturity date is Jan 1 2038, that is 30 years after the issue date.

YieldDisc is calculated using the following formula:

where:

B. The number of days in a year, it depends on the selected Basis argument value.
DIM. The number of days from settlement date to maturity date.

Example

Add a link to the MathFin system assembly.

Sub UserProc;
Var
    r: Double;
Begin
    r := Finance.YieldDisc(DateTime.ComposeDay(2008,02,16), DateTime.ComposeDay(2008,03,01), 99.795, 100, 2);
    Debug.WriteLine(r);
End Sub UserProc;

After executing the example the console window displays the annual profit equal to 0.0528.