cfyield
Compute yield to maturity for cash flow given price
Description
computes yield to maturity for a cash flow given price.Yield
= cfyield(CFlowAmounts
,CFlowDates
,Price
,Settle
)
specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax. Yield
= cfyield(___,Name,Value
)
Examples
Compute the Yield to Maturity for a Cash Flow When Given a Price
Use cfyield
to compute yield to maturity for a cash flow when given a price.
Define data for the yield curve and price.
Settle = datetime(2003,7,1); Price = 98; CFlowAmounts = [30 40 30]; CFlowDates = [datetime(2004,7,15) ; datetime(2005,7,15) ; datetime(2006,7,15)]';
Compute the Yield
.
Yield = cfyield(CFlowAmounts, CFlowDates, Price, Settle)
Yield = 0.0099
Input Arguments
CFlowAmounts
— Cash flow amounts
vector
Cash flow amounts, specified as an
NINST
-by-MOSTCFS
matrix. Each row
is a list of cash flow values for one instrument. If an instrument has fewer
than MOSTCFS
cash flows, the end of the row is padded
with NaN
s.
Data Types: double
CFlowDates
— Cash flow dates
datetime array | string array | date character vector
Cash flow dates, specified as an
NINST
-by-MOSTCFS
matrix using a
datetime array, string array, or date character vectors. Each entry contains
the date of the corresponding cash flow in
CFlowAmounts
.
To support existing code, cfyield
also
accepts serial date numbers as inputs, but they are not recommended.
Data Types: char
| string
| datetime
Price
— Prices
vector
Prices specified as an NINST
-by-1
vector.
Data Types: double
Settle
— Settlement date
datetime array | string array | date character vector
Settlement date, specified as an
NINST
-by-1
vector using a datetime
array, string array, or date character vectors. The
Settle
date is the date on which the cash flows are
priced.
To support existing code, cfyield
also
accepts serial date numbers as inputs, but they are not recommended.
Data Types: char
| string
| datetime
Name-Value Arguments
Specify optional pairs of arguments as
Name1=Value1,...,NameN=ValueN
, where Name
is
the argument name and Value
is the corresponding value.
Name-value arguments must appear after other arguments, but the order of the
pairs does not matter.
Before R2021a, use commas to separate each name and value, and enclose
Name
in quotes.
Example: Yield =
cfyield(CFAmounts,CFDates,Yield,Settle,'Basis',4,'CompoundingFrequency',4)
Note
An optional input of size NINST
-by-1
is
also acceptable as a single value applicable to all contracts. Single values are
internally expanded to an array of size
NINST
-by-1
.
Basis
— Day-count basis
0
(actual/actual) (default) | positive integers of the set [1...13]
| vector of positive integers of the set
[1...13]
Day-count basis, specified as the comma-separated pair consisting of
'Basis'
and a positive integer using a
NINST
-by-1
vector.
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
CompoundingFrequency
— Compounding frequency
SIA bases (0
–
7
) and BUS/252
use
2
, ICMA bases (8
–
12
) use 1
(default) | integer with value of 1
, 2
,
3
, 4
, 6
, or
12
Compounding frequency for yield calculation, specified as the
comma-separated pair consisting of
'CompundingFrequency'
and a scalar or a
NINST
-by-1
or
1
-by-NINST
vector.
1
— Annual compounding2
— Semiannual compounding3
— Compounding three times per year4
— Quarterly compounding6
— Bimonthly compounding12
— Monthly compounding
Note
By default, SIA bases (0
–
7
) and BUS/252
use a
semiannual compounding convention and ICMA bases
(8
– 12
) use an annual
compounding convention.
Data Types: double
Output Arguments
Yield
— Yield for cash flows
vector
Yield for cash flows, returned as an
NINST
-by-1
vector.
Version History
Introduced in R2012aR2022b: Serial date numbers not recommended
Although cfyield
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.
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