yldmat

Yield with interest at maturity

Syntax

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

Yield = yldmat(___,Basis)

Description

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

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

Examples

Find the Yield of a Security Paying Interest at Maturity

This example shows how to find the yield of a security paying interest at maturity for the following.

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)

Yield = 0.0607

Find the Yield of a Security Paying Interest at Maturity Using datetime Inputs

This example shows how to use datetime inputs find the yield of a security paying interest at maturity for the following:

Settle = '7-Feb-2000';
Maturity = '13-Apr-2000';
Issue = '11-Oct-1999';
Face = 100;
Price = 99.98;
CouponRate = 0.0608;
Basis = 1;

Settle = datetime(Settle,'Locale','en_US');
Maturity = datetime(Maturity,'Locale','en_US');
Issue = datetime(Issue,'Locale','en_US');

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

Yield = 0.0607

Input Arguments

Settle — Settlement date of security

serial date number | date character vector | datetime

Settlement date of the security, specified as serial date numbers, date character vectors, or datetime arrays. The Settle date must be before the Maturity date.

Data Types: double | char | datetime

Maturity — Maturity date of security

serial date number | date character vector | datetime

Maturity date of the security, specified as serial date numbers, date character vectors, or datetime arrays.

Data Types: double | char | datetime

Issue — Issue date of security

serial date number | date character vector | datetime

Issue date of the security, specified as serial date numbers, date character vectors, or datetime arrays.

Data Types: double | char | datetime

Face — Redemption value of security

numeric

Redemption value (par value) of the security, specified as a numeric value.

Data Types: double

Price — Price of security

numeric

Price of the security, specified as a numeric value.

Data Types: double

CouponRate — Coupon rate of security

decimal fraction

Coupon rate of the security, specified as a decimal fraction.

Data Types: double

Basis — Day-count basis

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

(Optional) Day-count basis for the security, specified 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 a security paying interest at maturity

numeric

Yield of a security paying interest at maturity, returned as a numeric value.

References

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