Financial Toolbox™ylddisc   yldtbill
  

yldmat - Yield with interest at maturity

Syntax 

Yield = yldmat(Settle, Maturity, Issue, Face, Price, CouponRate, Basis)

Arguments

Settle

Settlement date. Enter as serial date number or date string. Settle must be earlier than or equal to Maturity.

Maturity

Maturity date. Enter as serial date number or date string.

Issue

Issue date. Enter as serial date number or date string.

Face

Redemption (par, face) value.

Price

Price of the security.

CouponRate

Coupon rate. Enter as decimal fraction.

Basis

(Optional) Day-count basis of the instrument. A vector of integers.

  • 0 = actual/actual (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (PSA)

  • 5 = 30/360 (ISDA)

  • 6 = 30/360 (European)

  • 7 = actual/365 (Japanese)

  • 8 = actual/actual (ISMA)

  • 9 = actual/360 (ISMA)

  • 10 = actual/365 (ISMA)

  • 11 = 30/360E (ISMA)

  • 12 = actual/365 (ISDA)

Description

Yield = yldmat(Settle, Maturity, Issue, Face, Price, CouponRate, Basis) returns the yield of a security paying interest at maturity.

Examples

Using the data

Settle = '02/07/2000';
Maturity = '04/13/2000';
Issue = '10/11/1999';
Face = 100;
Price = 99.98;
CouponRate = 0.0608;
Basis = 1;

Yield = yldmat(Settle, Maturity, Issue, Face, Price,... 
CouponRate, Basis)

returns

Yield =
        0.0607 (or 6.07%)

References

Mayle, Standard Securities Calculation Methods, Volumes I-II, 3rd edition. Formula 3.

See Also

acrubond, bndprice, bndyield, prmat, ylddisc, yldtbill

  

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