Manuals/calci/ODDLYIELD

ODDLYIELD (SettlementDate,MaturityDate,LastInterestDate,Rate,Price,Redemption,Frequency,Basis)

• $SettlementDate$ is the settlement.
• $MaturityDate$ is the maturity.
• $LastInterestDate$ is the last coupon date.
• $Rate$ is the rate of interest.
• $Price$ is the security's price.
• $Redemption$ is the security's redemption.
• $Frequency$ is the frequency.
• $Basis$ is the basis.
  • ODDLYIELD(), returns the yield of a security with an odd last period.

Description

• This function gives the yield of a security that pays interest periodically but has an odd last period.
• This function is the inverse function of the OddLPrice function.
• In $ODDLYIELD(SettlementDate,MaturityDate,LastInterestDate,Rate,Price,Redemption,Frequency,Basis)$, $SettlementDate$ is the security's settlementDate. It is a Date or DateTime specifying when the security was purchased.
• $MaturityDate$ is the security's maturity date. This date is after the settlement date specifying when the security matures.
• $LastInterestDate$ is the date which is specifying when the security has its last payment. This date must be before the settlementDate.
• $Rate$ is a non-negative number specifying the interest rate for the coupons that the security pays.
• $Price$ is a non-negative number or currency specifying the security’s purchase price per $100 of face value.
• $Redemption$ is a number or currency specifying the security’s value at redemption per $100 of face value.
• $Frequency$is is a number specifying the number of coupons per year.
• The supported values are

 1 -annual payments
 2 -semiannual payments
 4 -quarterly.

• $Basis$ is an optional number specifying the day basis system to use.
• The following types are supported

Basis	Day count basis
0 or omitted	American 30/360 (default)
1	actual/actual
2	actual/360
3	actual/365
4	European 30/360

• $ODDLYIELD$ is calculated as follows:

$\left[{\dfrac {\left(redemption+\left(\left(\sum _{i=1}^{NC}{\frac {DC_{i}}{NL_{i}}}\right)*{\frac {100*rate}{frequency}}\right)\right)-\left(par+\left(\left(\sum _{i=1}^{NC}{\frac {A_{i}}{NL_{i}}}\right)*{\frac {100*rate}{frequency}}\right)\right)}{par+\left(\left(\sum _{i=1}^{NC}{\frac {A_{i}}{NL_{i}}}\right)*{\frac {100*rate}{frequency}}\right)}}\right]*\left[{\frac {frequency}{\left(\sum _{i=1}^{NC}{\frac {DSC_{i}}{NL_{i}}}\right)}}\right]$

• $A_{i}$ = number of accrued days for the ith, or last, quasi-coupon period within odd period counting forward from last interest date before redemption.
• $DC_{i}$ = number of days counted in the ith, or last, quasi-coupon period as delimited by the length of the actual coupon period.
• $NC$ = number of quasi-coupon periods that fit in odd period; if this number contains a fraction it will be raised to the next whole number.
• $NL_{i}$ = normal length in days of the ith, or last, quasi-coupon period within odd coupon period.
• The date arguments must satisfy the following conditions:

       SettlementDate <LastInterestDate < MaturityDate. 

• Also $SettlementDate$, $MaturityDate$, $LastInterestDate$,and $Basis$ are truncated in to integers.
• This function gives the result as error when

  1.The date arguments SettlementDate, MaturityDate and LastInterestDate are not a valid date.
  2.Rate<0 or Price<=0
  3.Basis<0 or Basis>4

Examples

1. =ODDLYIELD("10/May/1998","28/Sep/1998","5/Mar/1998",4.05%,125,50,4,0)= -1.523902561320
2. =ODDLYIELD("10/May/1998","28/Sep/1998","5/Mar/1998",4.05%,125,50,1,1) = -1.5119336294351
3. =ODDLYIELD("5/10/1998","9/28/1998","3/5/1998",4.05%,125,50,2,2)= -1.49066037101320
4. =ODDLYIELD("10/May/1998","28/Sep/1998","5/Mar/1998",4.05%,125,50,2,3)= -1.5119336294351
5. =ODDLYIELD("10/May/1998","28/Sep/1998","5/Mar/1998",4.05%,125,50,2,4) = -1.5239025613

Related Videos

ODDFYIELD

See Also

• DATE
• ODDFPRICE
• ODDFYIELD
• ODDLPRICE

References

• Oddlyield

• List of Main Z Functions

• Z3 home