Example: Bond Yield - Odd Short Last Coupon
This example calculates the yield of an odd short last coupon with one or less coupon period to redemption. Settlement |
02/07/1993 |
Maturity |
08/01/1993 |
Last Coupon |
02/04/1993 |
Rate |
0.065 |
Price |
100.540457 |
Redemption Value |
100.0 |
Payment Frequency |
Bond.SEMIANNUAL |
Day Count Basis |
DayCountBasis.Basis30e360 |
import com.imsl.finance.*;
import java.text.*;
import java.util.*;
public class OddShortLastOneCoupYieldEx {
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("02/07/1993");
GregorianCalendar maturity = parse("08/01/1993");
GregorianCalendar lastCoupon = parse("02/04/1993");
double yield = Bond.yield(settlement, maturity, lastCoupon, 0.065,
100.540457, 100.0, Bond.SEMIANNUAL,
DayCountBasis.Basis30e360);
System.out.println("The yield is " + yield);
}
}
Output
The yield is 0.05350000732923516
Link to Java source.