Functions and CALL Routines |
Returns the yield-to-maturity for a periodic cash flow stream,
such as a bond.
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A
-
specifies the face value.
Range: |
|
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c
-
specifies the nominal annual coupon rate,
expressed as a fraction.
Range: |
|
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n
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specifies the number of coupons per year.
Range: |
and is an integer |
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K
-
specifies the number of remaining coupons
from settlement date to maturity.
Range: |
and is an integer |
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k0
-
specifies the time from settlement date
to the next coupon as a fraction of the annual basis.
Range: |
|
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p
-
specifies the price with accrued interest.
Range: |
|
The YIELDP function is based on the relationship
where
The YIELDP function solves for
y.
In the following example, the YIELDP function returns
the yield-to-maturity of a bond that has a face value of 1000, an annual coupon
rate of 0.01, 4 coupons per year, and 14 remaining coupons. The time from
settlement date to next coupon date is 0.165, and the price with accrued interest
is 800.
data _null_;
y=yieldp(1000,.01,4,14,.165,800);
put y;
run;
The value returned is 0.0775031248.
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