calculate the yield of a bond given its clean price - Maple Help

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Finance[YieldFromCleanPrice] - calculate the yield of a bond given its clean price

Calling Sequence

YieldFromCleanPrice(bond, price, compounding, opts)

Parameters

bond

-

fixed- or floating-rate bond data structure; bond

price

-

non-negative constant; bond's clean price

compounding

-

Simple, Continuous, Compounded, or SimpleThenCompounded; the underlying compounding type

opts

-

equations of the form option = value where option is one of accuracy, iterations, or evaluationdate; specify options for the YieldFromCleanPrice command

Description

• 

The YieldFromCleanPrice command calculates a bond's yield based on the specified clean price.

• 

The parameter bond can be either a fixed-rate bond or a floating-rate bond.

• 

The parameter price is the desired clean price.

• 

The (optional) parameter compounding specifies what type of compounding will be used to calculate the yield. By default, Continuous compounding is assumed.

Examples

withFinance:

SetEvaluationDateNovember 25, 2006:

EvaluationDate

November 25, 2006

(1)

Settingsdaycounter=Historical,settlementdays=0,businessdayconvention=Unadjusted

daycounter=Historical,settlementdays=0,businessdayconvention=Unadjusted

(2)

Consider a zero-coupon bond with a face value of 100 maturing in five years.

bond1:=ZeroCouponBond100,5,Years:

price1:=CleanPricebond1,0.05,Compounded

price1:=78.35261665

(3)

100DiscountFactor0.05,5,compounding=Annual

78.35261665

(4)

10011.055

78.35261665

(5)

yield1:=YieldFromCleanPricebond1,price1

yield1:=0.04879016417

(6)

EquivalentRateyield1,Continuous,Annual

0.05000000000

(7)

yield1:=YieldFromCleanPricebond1,price1,Compounded

yield1:=0.05000000006

(8)

Consider a 3-year bond with a face value of 100 that pays a fixed coupon of 3% issued on March 15, 2005.

principal2:=100:

coupon2:=0.03:

rate2:=0.05:

We will use the Thirty360European day counter.

Settingsdaycounter=Thirty360European:

Settingsdaycounter

Thirty360European

(9)

bond2:=FixedCouponBondprincipal2,3,Years,coupon2,issuedate=March 17, 2005:

Calculate the bond's clean price given its yield and vice-versa.

yield2:=YieldFromCleanPricebond2,100,Compounded

yield2:=0.02992505925

(10)

price2:=CleanPricebond2,yield2,Compounded

price2:=100.0000000

(11)

yield3:=YieldFromCleanPricebond2,price2

yield3:=0.02948604163

(12)

CleanPricebond2,yield3

99.99999999

(13)

See Also

Finance[AccruedAmount], Finance[CleanPrice], Finance[DayCounter], Finance[DirtyPrice], Finance[FixedCouponBond], Finance[FloatingRateBond], Finance[FormatDate], Finance[ParseDate], Finance[YearFraction], Finance[YieldFromDirtyPrice], Finance[ZeroCouponBond]


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