Example: Bond Yield - Odd Short First Coupon
This example calculates the yield of an odd short first coupon. Settlement |
11/11/1992 |
Maturity |
03/01/2005 |
Issue date |
10/15/1992 |
First Coupon |
03/01/1993 |
Rate |
0.0785 |
Price |
113.597717 |
Redemption Value |
100.0 |
Payment Frequency |
Bond.SEMIANNUAL |
Day Count Basis |
DayCountBasis.BasisActualActual |
import com.imsl.finance.*;
import java.text.*;
import java.util.*;
public class OddShortFirstCoupYieldEx {
static final DateFormat dateFormat
= DateFormat.getDateInstance(DateFormat.SHORT, Locale.US);
static private GregorianCalendar parse(String s) throws ParseException {
GregorianCalendar cal = new GregorianCalendar();
cal.setTime(dateFormat.parse(s));
return cal;
}
public static void main(String args[]) throws ParseException {
GregorianCalendar settlement = parse("11/11/1992");
GregorianCalendar maturity = parse("03/01/2005");
GregorianCalendar issueDate = parse("10/15/1992");
GregorianCalendar firstCoupon = parse("03/01/1993");
double yield = Bond.yield(settlement, maturity, issueDate,
firstCoupon, 0.0785, 113.597717, 100.0, Bond.SEMIANNUAL,
DayCountBasis.BasisActualActual);
System.out.println("The yield is " + yield);
}
}
Output
The yield is 0.06250000051314245
Link to Java source.