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ylddisc

Yield of discounted security

Description

example

Yield = ylddisc(Settle,Maturity,Face,Price) returns the yield of a discounted security.

Yield = ylddisc(___,Basis) adds optional an argument for Basis.

Examples

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This example shows how to find the yield of the following discounted security.

Settle = '10/14/2000';
Maturity = '03/17/2001';
Face = 100;
Price = 96.28;
Basis = 2;

Yield = ylddisc(Settle, Maturity, Face, Price, Basis)
Yield = 0.0903

This example shows how to use datetime inputs to find the yield of the following discounted security.

Settle = datetime(2000,10,14);
Maturity = datetime(2001,3,17);
Face = 100;
Price = 96.28;
Basis = 2;

Yield = ylddisc(Settle, Maturity, Face, Price, Basis)
Yield = 0.0903

Input Arguments

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Settlement date of the security, specified using a datetime array, string array, or date character vectors. The Settle date must be before the Maturity date.

To support existing code, ylddisc also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Maturity date of the security, specified using a datetime array, string array, or date character vectors.

To support existing code, ylddisc also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Redemption value (par value) of the security, specified as a scalar or vector using numeric values.

Data Types: double

Discount price of the security, specified as a scalar or vector using numeric values.

Data Types: double

Day-count basis for the security, specified as a scalar or vector using the following values:

  • 0 = actual/actual

  • 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 (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.

Data Types: double

Output Arguments

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Yield of discounted security, returned as a scalar or vector of numeric values.

References

[1] Mayle, J. Standard Securities Calculation Methods. Volumes I-II, 3rd edition. Formula 1.

Version History

Introduced before R2006a

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