Difference between revisions of "Manuals/calci/YIELD"

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(Created page with "<div id="6SpaceContent" class="zcontent" align="left"> '''YIELD'''(SettlementDate, MaturityDate, Rate, Price, Redemption, Frequency, Basis) where, '''SettlementDate''...")
 
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<div id="6SpaceContent" class="zcontent" align="left">
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=YIELD(settlement, maturity, rate, price, redemption, frequency, basis)=
  
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'''YIELD'''(SettlementDate, MaturityDate, Rate, Price, Redemption, Frequency, Basis)
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*where <math>settlement</math> is security's settlement date (a date when coupon or a bond is purchased),
 +
*<math>maturity</math> is security's maturity date (a date when coupon or a bond expires),  
 +
*<math>rate</math> is security's annual coupon rate,  
 +
*<math>price</math> is the price per $100 face value,
 +
*<math>redemption</math> is security's redemption value per &#36;100 face value,
 +
*<math>frequency</math> is the number of coupon payments per year, and
 +
*<math>basis</math> is the type of day count basis to use.
  
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where,
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YIELD() calculates the yield on a security or a bond that pays periodic interest.
  
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'''SettlementDate''' - represents the settlement date.
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== Description ==
  
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'''MaturityDate''' - represents the maturity date.
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YIELD(settlement, maturity, rate, price, redemption, frequency, basis)
  
−
'''Rate''' - represents the  rate.
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*Yield is the annual percentage return on an investment or security. Yield is the value obtained by dividing Annual Interest by Bond Price.  
  
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'''Price''' - represents the price per $100 face value.
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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,
  
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'''Redemption''' - is the redemption value per $100 face value.
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<math>YIELD = \frac{(\frac{redemption}{100}+\frac{rate}{frequency})-(\frac{par}{100}+(\frac{B}{C}*\frac{rate}{frequency}))}{\frac{par}{100}+(\frac{B}{C}*\frac{rate}{frequency})}*\frac{frequency*C}{N}</math>
  
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'''Frequency''' - the number of coupon payment per year.
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*<math>settlement</math> and <math>maturity</math> 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 <math>settlement</math> date = <math>maturity</math> date, Calci displays #N/A error message.
 +
*<math>rate</math> value must be greater than or equal to zero, else Calci displays #N/A error message.
 +
*<math>price</math> and <math>redemption</math> values must be greater than zero, else Calci displays #N/A error message.
 +
*The values for <math>frequency</math> should be 1,2 or 4.
 +
For Annual payment, <math>frequency</math> = 1,
  
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'''Payments              frequency'''
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For Semi-annual payment, <math>frequency</math> = 2,
  
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annual                     1
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For Quarterly payment, <math>frequency</math> = 4.
  
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semiannual               2
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*<math>basis</math> value is optional. If omitted, Calci assumes it to be 0.
 +
Below table shows the use of <math>basis</math> values:
  
−
quarterly                  4
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{| class="wikitable"
 +
|-
 +
! Basis !! Description
 +
|-
 +
| 0 || US (NASD) 30/360
 +
|-
 +
| 1 || Actual/actual
 +
|-
 +
| 2 || Actual/360
 +
|-
 +
| 3 || Actual/365
 +
|-
 +
| 4 || European 30/360
 +
|}
  
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'''Basis''' - type of day count basis
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*If <math>basis</math> value is other than 0 to 4, Calci displays #N/A error message.
  
−
'''Basis              Day count basis'''
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== Examples ==
  
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0 or omitted    US 30/360
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YIELD(settlement, maturity, rate, price, redemption, frequency, basis) function with inputs in order is calculated as follows:
  
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1                     Actual/actual
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<div id="2SpaceContent" class="zcontent" align="left">
  
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2                     Actual/360
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{| id="TABLE3" class="SpreadSheet blue"
 +
|- class="even"
 +
| class="sshl_f" | 2/2/2008
 +
| class="sshl_f" |
  
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3                     Actual/365
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|- class="odd"
 +
| class="sshl_f" | 11/2/2010
 +
| class="sshl_f" |
  
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4                     European 30/360
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|- class="even"
 +
| class="sshl_f" | 5%
 +
| class="sshl_f" |
  
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</div>
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|- class="odd"
−
----
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| class="sshl_f" | 97
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<div id="1SpaceContent" class="zcontent" align="left">
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| class="sshl_f" |
  
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It returns the yield that pays periodic interest.
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|- class="even"
 +
| class="sshl_f" | $100
 +
| class="sshl_f" |
  
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'''Formula''':-
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|- class="odd"
 +
| class="sshl_f" | 2
 +
| class="sshl_f" |
  
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If 1 coupon period or less than Redemption
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|- class="even"
−
 
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| class="sshl_f" | 0
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YIELD={[(Redemption/100)+(Rate/Frequency)]-
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| class="sshl_f" |
−
 
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|}
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[(Par/100)+((B/C) x (Rate/Frequency))]} /    [(Par/100)+((A/C) x (Rate/Frequency))] x( Frequeny x C)/N
 
−
 
 
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where,
 
−
 
 
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B - number of daysfrom the beginning of the period to the settlement date.
 
−
 
 
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C - number of days in the coupon period.
 
−
 
 
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N - number of days from settlement to redemption value.
 
−
 
 
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</div>
 
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----
 
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<div id="7SpaceContent" class="zcontent" align="left">
 
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If Basis &lt; 0 or Basis &gt; 4 , YIELD returns the #ERROR.
 
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If Rate &lt; 0 or Price &lt;= 0 or Redemption &lt;=0, it returns the #ERROR.
 
−
 
 
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If SettlementDate &gt;= MaturityDate, YIELD returns #ERROR.
 
−
 
 
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If Frequency other than 1, 2 or 4 returns the #ERROR.
 
−
 
 
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</div>
 
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----
 
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<div id="12SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="left">
 
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YIELD
 
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</div></div>
 
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----
 
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<div id="8SpaceContent" class="zcontent" align="left">
 
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Lets see an example in (Column2, Row1)
 
  
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<nowiki>=YIELD(R1C1, R2C1, R3C1, R4C1, R5C1,R6C1,R7C1)</nowiki>
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=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.
  
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YIELD returns 47.950201.
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== See Also ==
  
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Consider another example
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*[[Manuals/calci/YIELDDISC | YIELDDISC]]
−
 
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*[[Manuals/calci/YIELDMAT | YIELDMAT]]
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<nowiki>=YIELD(date(2007,1,1), date(2008,2,20), "15%", 89.25,100,1,5)</nowiki>
 
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It returns #ERROR(Basis=5).
 
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</div>
 
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----
 
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<div id="10SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Syntax </div><div class="ZEditBox"><center></center></div></div>
 
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----
 
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<div id="4SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Remarks </div></div>
 
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----
 
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<div id="3SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Examples </div></div>
 
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----
 
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<div id="11SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Description </div></div>
 
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----
 
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<div id="2SpaceContent" class="zcontent" align="left">
 
  
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{| id="TABLE3" class="SpreadSheet blue"
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== References ==
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|- class="even"
 
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| class="    " |
 
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<div id="2EditDiv" class="tab active"></div><div id="2Space_Copy" class="zhandles"></div>
 
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| class="  " | Column1
 
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| class="  " | Column2
 
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| Column3
 
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| Column4
 
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|- class="odd"
 
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| class=" " | Row1
 
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| class=" " | 1/2/2008
 
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| class="sshl_f" | 47.950201
 
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| class="                                        " |
 
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| class="      sshl_f  " |
 
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|- class="even"
 
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| class="  " | Row2
 
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| class=" " | 2/20/2008
 
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| class="                          sshl_f  " |
 
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| class=" " |
 
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| class=" " |
 
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|- class="odd"
 
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| Row3
 
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| class=" " | 12%
 
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| class=" " |
 
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| class="  SelectTD  SelectTD ChangeBGColor" |
 
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<div id="2Space_Handle" class="zhandles" title="Click and Drag to resize CALCI Column/Row/Cell. It is EZ!"></div><div id="2Space_Copy" class="zhandles" title="Click and Drag over to AutoFill other cells."></div><div id="2Space_Drag" class="zhandles" title="Click and Drag to Move/Copy Area.">[[Image:copy-cube.gif]]  </div>
 
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| class=" " |
 
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|- class="even"
 
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| Row4
 
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| class=" " | 56.268
 
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| class=" " |
 
−
| class=" " |
 
−
| class=" " |
 
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|- class="odd"
 
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| class=" " | Row5
 
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| class=" " | 100
 
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| class=" " |
 
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| class=" " |
 
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| class=" " |
 
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|- class="even"
 
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| class="sshl_f" | Row6
 
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| class=" " | 1
 
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| class=" " |
 
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| class=" " |
 
−
| class=" " |
 
−
|- class="odd"
 
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| class="sshl_f" | Row7
 
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| class="sshl_f " | 4
 
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| class="    " |
 
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| class="  " |
 
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| class="  " |
 
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|}
 
  
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<div align="left">[[Image:calci1.gif]]</div></div>
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*[http://en.wikipedia.org/wiki/Yield_(finance) Yield]
−
----
+
*[http://en.wikipedia.org/wiki/Current_yield Current Yield]
 +
*[http://en.wikipedia.org/wiki/Day_count_convention Basis Convention]

Revision as of 09:29, 3 February 2014

YIELD(settlement, maturity, rate, price, redemption, frequency, basis)

  • where is security's settlement date (a date when coupon or a bond is purchased),
  • is security's maturity date (a date when coupon or a bond expires),
  • is security's annual coupon rate,
  • is the price per $100 face value,
  • is security's redemption value per $100 face value,
  • Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle frequency} is the number of coupon payments per year, and
  • Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle basis} is the type of day count basis to use.

YIELD() calculates the yield on a security or a bond that pays periodic interest.

Description

YIELD(settlement, maturity, rate, price, redemption, 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,

Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle YIELD = \frac{(\frac{redemption}{100}+\frac{rate}{frequency})-(\frac{par}{100}+(\frac{B}{C}*\frac{rate}{frequency}))}{\frac{par}{100}+(\frac{B}{C}*\frac{rate}{frequency})}*\frac{frequency*C}{N}}
  • Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle settlement} and Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle maturity} 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 Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle settlement} date = Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle maturity} date, Calci displays #N/A error message.
  • Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle rate} value must be greater than or equal to zero, else Calci displays #N/A error message.
  • Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle price} and Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle redemption} values must be greater than zero, else Calci displays #N/A error message.
  • The values for Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle frequency} should be 1,2 or 4.

For Annual payment, Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle frequency} = 1,

For Semi-annual payment, Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle frequency} = 2,

For Quarterly payment, Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle frequency} = 4.

  • Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle basis} value is optional. If omitted, Calci assumes it to be 0.

Below table shows the use of Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle basis} values:

Basis Description
0 US (NASD) 30/360
1 Actual/actual
2 Actual/360
3 Actual/365
4 European 30/360
  • If Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle basis} value is other than 0 to 4, Calci displays #N/A error message.

Examples

YIELD(settlement, maturity, rate, price, redemption, 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.

See Also

References

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