Language Reference: YIELD Function :: SAS/IML(R) 9.2 User's Guide

Language Reference

YIELD Function

calculates yield-to-maturity of a cash-flow stream and returns a scalar

YIELD( times,flows,freq,value)

The YIELD function returns a scalar containing yield-to-maturity of a cash-flow stream based on frequency and value specified.

times: is an -dimensional column vector of times. Elements should be nonnegative.
flows: is an -dimensional column vector of cash flows.
freq: is a scalar that represents the base of the rates to be used for discounting the cash flows. If positive, it represents discrete compounding as the reciprocal of the number of compoundings. If zero, it represents continuous compounding. No negative values are accepted.
value: is a scalar that is the discounted present value of the cash flows.

The present value relationship can be written as

$p=\sum_{k=1}^k c(k) d(t_k)$

where

is the present value of the asset, $\{c(k)\}{k=1,..k}$ is the sequence of cash flows from the asset,

is the time to the

th cash flow in periods from the present, and

is the discount function for time

.

With continuous compounding:

$d(t) = e^{-y t}$

With discrete compounding:

$d(t) = (1+fy)^{-t/f}$

where $f \gt 0$ is the frequency, the reciprocal of the number of compoundings per unit time period, and

is the yield-to-maturity. The YIELD function solves for

For example, the following code produces the output shown:

  
    timesn=T(do(1,100,1)); 
    flows=repeat(10,100); 
    freq=50; 
    value=682.31027; 
    yield=yield(timesn,flows,freq,value); 
    print yield;

  
                              YIELD 
                             0.0100001

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