IFinance.YieldF

Syntax

YieldF(Settlement: DateTime; Maturity: DateTime; Rate: Double; Price: Double; Redemption: Double; Frequency: Integer; [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

Rate. Annual interest rate for coupons on securities. Must be positive.

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.

Frequency. The annual number of coupon payments. The parameter can take the following values:

1. Annual payments.
2. Semi-annual payments.
4. Quarterly payments.

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 YieldF method returns yield for securities, for which interest is paid regularly.

Comments

If only one or less coupon periods fit until the maturity date, the YieldF function is calculated, using the following formula:

where:

A. The number of dates from the coupon start date to the settlement date (accumulated days).
DSR. The number of days from settlement date to maturity date.
E. The number of days in coupon period.

Example

Add a link to the MathFin system assembly.

Sub UserProc;
Var
    r: Double;
Begin
    r := Finance.YieldF(DateTime.ComposeDay(2008,01,01), DateTime.ComposeDay(2008,06,01), 0.15, 145, 150, 1, 0);
    Debug.WriteLine(r);
End Sub UserProc;

After executing the example the console window displays the securities profitability equal to 0.1756.