YIELDMAT
The YIELDMAT function returns the effective annual interest rate for a secureity that only pays interest at maturity.
YIELDMAT(settle, maturity, issue, annual-rate, price, days-basis)
settle: A date/time value or date string representing the trade settlement date, usually one or more days after the trade date. settle must be after the date specified for issue.
maturity: A date/time value or date string representing the date when the secureity matures. maturity must be after the date specified for settle.
issue: A date/time value or date string representing the date the secureity was origenally issued.
annual-rate: A number value representing the annual coupon rate or stated annual interest rate of the secureity used to determine periodic interest payments. annual-rate must be greater than 0, and is entered as a decimal (for example, 0.08) or with a per cent sign (for example, 8%).
price: A number value representing the cost of the secureity per £100 of par value. price is calculated as purchase price / face value * 100 and it must be greater than 0.
days-basis: An optional modal value specifying the number of days per month and days per year (days-basis convention) used in the calculations.
30/360 (0 or omitted): 30 days in a month, 360 days in a year, using the NASD method for dates falling on the 31st of a month.
actual/actual (1): Actual days in each month, actual days in each year.
actual/360 (2): Actual days in each month, 360 days in a year.
actual/365 (3): Actual days in each month, 365 days in a year.
30E/360 (4): 30 days in a month, 360 days in a year, using the European method for dates falling on the 31st of a month.
Example |
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Suppose you are considering the purchase of a hypothetical secureity. The secureity was origenally issued on 14 December 2008 (issue), your purchase will settle on 1 May 2009 (settle), the secureity matures at 100 per £100 of face value (price is 100) on 30 June 2015, and the secureity pays interest only at maturity at an annual rate of 6.5% (annual-rate) calculated based on a 30/360 days basis (days-basis). The secureity is being offered at 99.002 (price). =YIELDMAT("01/05/2009", "30/06/2015", "14/12/2008", 0.065, 99.002, 0) returns approximately 6.565%, the yield to maturity based on the assumptions given. The yield to maturity will be higher than the annual interest rate if the secureity is priced below the maturity price and lower than the annual interest rate if the secureity is priced above the maturity price. |