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cdyield

Yield on certificate of deposit (CD)

Syntax

Yield = cdyield(Price, CouponRate, Settle, Maturity, IssueDate,
Basis)

Arguments

Price

Clean price of the certificate of deposit per $100 face. If you have a vector of dirty or cash prices of CDs, compute the accrued interest portion using cdai.

CouponRate

Annual interest rate in decimal.

Settle

Settlement date, specified as a serial date number, date character vector, or datetime array. Settle must be earlier than Maturity.

Maturity

Maturity date, specified as a serial date number, date character vector, or datetime array.

IssueDate

Issue date, specified as a serial date number, date character vector, or datetime array.

Basis

(Optional) Day-count basis of the instrument.

  • 0 = actual/actual

  • 1 = 30/360 (SIA)

  • 2 = actual/360 (default)

  • 3 = actual/365

  • 4 = 30/360 (BMA)

  • 5 = 30/360 (ISDA)

  • 6 = 30/360 (European)

  • 7 = actual/365 (Japanese)

  • 8 = actual/actual (ICMA)

  • 9 = actual/360 (ICMA)

  • 10 = actual/365 (ICMA)

  • 11 = 30/360E (ICMA)

  • 12 = actual/365 (ISDA)

  • 13 = BUS/252

For more information, see basis.

Each required input must be some certificates of deposit (NCDS)-by-1 or 1-by-NCDS conforming vector or scalar. The optional Basis argument may be either a NCDS-by-1 or a 1-by-NCDS vector, a scalar, or the empty matrix ([]).

Description

Yield = cdyield(Price, CouponRate, Settle, Maturity, IssueDate, Basis) computes the yield to maturity of a certificate of deposit given its clean price.

This function assumes that the certificates of deposit pay interest at maturity. Because of the simple interest treatment of these securities, the function is best used for short-term maturities (less than 1 year). The default simple interest calculation is the actual/360 convention.

Examples

collapse all

This example shows how to compute the yield on the certificate of deposit (CD), given a CD with the following characteristics.

Price      = 101.125;
CouponRate = 0.05;
Settle     = '02-Jan-02';
Maturity   = '31-Mar-02';
IssueDate = '1-Oct-01';

Yield = cdyield(Price, CouponRate, Settle, Maturity, IssueDate)
Yield =

    0.0039

This example shows how to use datetime inputs to compute the yield on the certificate of deposit (CD), given a CD with the following characteristics.

Price      = 101.125;
CouponRate = 0.05;
Settle     = datetime('02-Jan-02','Locale','en_US');
Maturity   = datetime('31-Mar-02','Locale','en_US');
IssueDate = datetime('1-Oct-01','Locale','en_US');

Yield = cdyield(Price, CouponRate, Settle, Maturity, IssueDate)
Yield =

    0.0039

Related Examples

Introduced before R2006a

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