ylddisc

Yield of discounted security

Syntax

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

Yield = ylddisc(___,Basis)

Description

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

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

Examples

Find the Yield of a Discounted Security

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

Find the Yield of a Discounted Security Using datetime Inputs

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

Settle — Settlement date of security

datetime array | string array | date character vector

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 — Maturity date of security

datetime array | string array | date character vector

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

Face — Redemption value of security

numeric

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

Data Types: double

Price — Discount price of security

numeric

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

Data Types: double

Basis — (Optional) Day-count basis

0 (actual/actual) (default) | integers of the set [0...13] | vector of integers of the set [0...13]

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

Yield — Yield of discounted security

numeric

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

R2022b: Serial date numbers not recommended

Although ylddisc supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.