Evaluates the interest rate of a fully invested security.
Synopsis
#include <imsl.h>
float
imsl_f_interest_rate_security (struct
tm settlement,
struct
tm maturity, float investment, float redemption,
int basis)
The type double function is imsl_d_interest_rate_security.
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 dates see the Usage Notes section of
this chapter.
float
investment (Input)
The total amount one has invested in
the security..
float
redemption (Input)
Amount to be received at maturity.
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 discussion see the Usage Notes section of this
chapter.
Return Value
The interest rate for a fully invested security. If no result can be computed, NaN is returned.
Description
Function imsl_f_interest_rate_security computes the interest rate for a fully invested 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 in the period starting with the settlement date and ending with the maturity date.
Example
In this example, imsl_f_interest_rate_security computes the interest rate of a $7,000 investment with the settlement date of July 1, 1995, and maturity date of July 1, 2005, using the Actual/365 day count method. The total amount received at the end of the investment is $10,000.
#include <stdio.h>
#include "imsl.h"
void main()
{
struct tm settlement, maturity;
float investment = 7000.;
float redemption = 10000.;
int basis = IMSL_DAY_CNT_BASIS_ACTUAL365;
float intrate;
settlement.tm_year = 95;
settlement.tm_mon = 6;
settlement.tm_mday = 1;
maturity.tm_year = 105;
maturity.tm_mon = 6;
maturity.tm_mday = 1;
intrate = imsl_f_interest_rate_security (settlement, maturity,
investment, redemption, basis);
printf ("The interest rate of the bond is %.2f%%.\n", intrate * 100.);
}
Output
The interest rate of the bond is 4.28%.
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