discount_yield
Evaluates the annual yield of a discounted security.
Synopsis
#include <imsl.h>
float imsl_f_discount_yield (struct tm settlement, struct tm maturity, float price, float redemption, int basis)
The type double function is imsl_d_discount_yield.
Required Arguments
struct tm settlement (Input)
The date on which payment is made to settle a trade. For a more detailed discussion on dates see the
Usage Notes section of this chapter.
struct tm maturity (Input)
The date on which the bond comes due, and principal and accrued interest are paid. For a more detailed discussion on see the
Usage Notes section of this chapter.
float price (Input)
Price per $100 face value of the security.
float redemption (Input)
Redemption value per $100 face value of the security.
int basis (Input)
The method for computing the number of days between two dates. It should be one of
IMSL_DAY_CNT_BASIS_ACTUALACTUAL, IMSL_DAY_CNT_BASIS_NASD,
IMSL_DAY_CNT_BASIS_ACTUAL360,
IMSL_DAY_CNT_BASIS_ACTUAL365, or
IMSL_DAY_CNT_BASIS_30E360. For a more detailed see the
Usage Notes section of this chapter.
Return Value
The annual yield for a discounted security. If no result can be computed, NaN is returned.
Description
Function imsl_f_discount_yield computes the annual yield for a discounted security.
It is computed using the following:
In the equation above, B represents the number of days in a year based on the annual basis, and DSM represents the number of days starting with the settlement date and ending with the maturity date.
Example
In this example, imsl_f_discount_yield computes the annual yield for a discounted security which is selling at $95.40663 with the settlement date of July 1, 1995, and maturity date of July 1, 2005, using the US (NASD) 30/360 day count method.
#include <stdio.h>
#include <imsl.h>
int main()
{
struct tm settlement, maturity;
float price = 95.40663;
float redemption = 105.;
int basis = IMSL_DAY_CNT_BASIS_NASD;
float yielddisc;
settlement.tm_year = 95;
settlement.tm_mon = 6;
settlement.tm_mday = 1;
maturity.tm_year = 105;
maturity.tm_mon = 6;
maturity.tm_mday = 1;
yielddisc = imsl_f_discount_yield (settlement, maturity,
price, redemption, basis);
printf ("The yield on the discounted bond is ");
printf ("%.2f%%.\n", yielddisc * 100.);
}
Output
The yield on the discounted bond is 1.01%.
