Click or drag to resize
BondYieldmat Method
Returns the annual yield of a security that pays interest at maturity.

Namespace: Imsl.Finance
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax
Copy
public static double Yieldmat(
	DateTime settlement,
	DateTime maturity,
	DateTime issue,
	double rate,
	double price,
	DayCountBasis basis
)

Parameters

settlement
Type: SystemDateTime
The DateTime settlement date of the security.
maturity
Type: SystemDateTime
The DateTime maturity date of the security.
issue
Type: SystemDateTime
The DateTime issue date of the security.
rate
Type: SystemDouble
A double which specifies the security's interest rate at date of issue.
price
Type: SystemDouble
A double which specifies the security's price per $100 face value.
basis
Type: Imsl.FinanceDayCountBasis
A DayCountBasis object which contains the type of day count basis to use.

Return Value

Type: Double
A double which specifies the annual yield of a security that pays interest at maturity.
Remarks

It is computed using the following:

{{{\left[ {1 + \left( {{{\it DIM} \over B} \times {\it rate}} \right)} \right] - \left[ {{{\it price} \over {100}} + \left( {{A \over B} \times {\it rate}} \right)} \right]} \over {{{\it price} \over {100}} + \left( {{A \over B} \times {\it rate}} \right)}}} \times {{B \over {\it DSM}}}
In the equation above, {\it DIM} represents the number of days in the period starting with the issue date and ending with the maturity date. {\it DSM} represents the number of days in the period starting with the settlement date and ending with the maturity date. A represents the number of days in the period starting with the issue date and ending with the settlement date. B represents the number of days in a year based on the annual basis.

See Also