Manuals/calci/YIELD

YIELD (Settlement,MaturityDate,Rate,Price,RedemptionValue,Frequency,Basis)

• where $Settlement$ is security's settlement date (a date when coupon or a bond is purchased),
• $MaturityDate$ is security's maturity date (a date when coupon or a bond expires),
• $Rate$ is security's annual coupon rate,
• $Price$ is the price per $100 face value,
• $RedemptionValue$ is security's redemption value per $100 face value,
• $Frequency$ is the number of coupon payments per year, and
• $Basis$ is the type of day count basis to use.
  • YIELD(), returns the yield on a security that pays periodic interest.

Description

YIELD (Settlement,MaturityDate,Rate,Price,RedemptionValue,Frequency,Basis)

• Yield is the annual percentage return on an investment or security. Yield is the value obtained by dividing Annual Interest by Bond Price.

Formula:-

If B= Number of days from beginning of coupon period to settlement date,
   C= Number of days in coupon period,
   N= Number of days from settlement date to redemption date

:$YIELD={\dfrac {({\dfrac {redemption}{100}}+{\dfrac {rate}{frequency}})-({\dfrac {par}{100}}+({\dfrac {B}{C}}*{\dfrac {rate}{frequency}}))}{{\dfrac {par}{100}}+({\dfrac {B}{C}}*{\dfrac {rate}{frequency}})}}*{\dfrac {frequency*C}{N}}$

• $Settlement$ and $MaturityDate$ dates should be entered either in 'date format' or 'dates returned using formulas'. If dates are not valid, Calci displays #N/A error message.
• If $Settlement$ date = $MaturityDate$ date, Calci displays #N/A error message.
• $Rate$ value must be greater than or equal to zero, else Calci displays #N/A error message.
• $Price$ and $Redemption$ values must be greater than zero, else Calci displays #N/A error message.
• The values for $Frequency$ should be 1,2 or 4.

For Annual payment, $Frequency$ = 1,

For Semi-annual payment, $Frequency$ = 2,

For Quarterly payment, $Frequency$ = 4.

• $Basis$ value is optional. If omitted, Calci assumes it to be 0.

Below table shows the use of $basis$ values:

Basis	Description
0	US (NASD) 30/360
1	Actual/actual
2	Actual/360
3	Actual/365
4	European 30/360

• If $Basis$ value is other than 0 to 4, Calci displays #N/A error message.

Examples

YIELD (Settlement,MaturityDate,Rate,Price,RedemptionValue,Frequency,Basis) function with inputs in order is calculated as follows:

2/2/2008
11/2/2010
5%
97
$100
2
0

=YIELD(A1,A2,A3,A4,A5,A6,A7) : Calculates the Yield Value with the inputs in the range A1 to A7. Returns 6.2% as a result.

=YIELD(DATE(2012,6,10), DATE(2013,6,10), "6%", 98.85, 100, 2) : Calculates the Yield Value with the inputs. 
 Returns 7.21% as a result.

Related Videos

YIELD

See Also

• YIELDDISC
• YIELDMAT

References

• Yield
• Current Yield
• Basis Convention

• List of Main Z Functions

• Z3 home