yldbond (Financial Toolbox)

Yield to maturity of bond.

Syntax

yld = yldbond(sd, md, rv, price, cpn, per, basis, maxiter, eom)
yld = yldbond(sd, md, rv, price, cpn, per, basis, maxiter)
yld = yldbond(sd, md, rv, price, cpn, per, basis)
yld = yldbond(sd, md, rv, price, cpn, per)
yld = yldbond(sd, md, rv, price, cpn)
yld = yldbond(sd, md, rv, price)

Arguments

sd: Settlement date. A vector of serial date numbers or date strings. sd must be earlier than or equal to md.

md: Maturity date. A vector of serial date numbers or date strings.

rv: Redemption or face value of the bond. A vector.

price: Price of the bond. A vector.

cpn: Coupon rate of the bond. A vector of decimal fractions. Default = 0.

per: Coupons per year of the bond. A vector of integers. Allowed values are 1, 2, 3, 4, 6, and 12. Default = 2.

basis: Day-count basis of the bond. A vector of integers.
0 = actual/actual (default), 1 = 30/360, 2 = actual/360, 3 = actual/365.

maxiter: Maximum number of iterations used in Newton's method to derive the yield to maturity. An integer. Default = 50. Enter an empty matrix [] to accept the default and also enter values for eom.

eom: End-of-month flag. A vector. This flag applies only when the maturity date md is an end-of-month date for a month having 30 or fewer days. 0 = ignore flag, meaning that a bond's coupon payment date is always the same day of the month. 1 = set flag (default), meaning that a bond's coupon payment date is always the last day of the month.

Vector arguments must have consistent dimensions, or they must be scalars.

Description

yld = yldbond(sd, md, rv, price, cpn, per, basis, maxiter, eom)

returns the yield to maturity of coupon and zero-coupon bonds using a Newton-Raphson iterative method. This function also applies to pure discount securities by setting cpn = 0. To calculate the spot rate of a security, set per = 1.

Example

Given data for three bonds with the same maturity date:

sd = '01/01/1960';
md = '01/01/1990';
rv = 1000;
price = [1276.76  1258.92  1197.43];
cpn = 0.08;
per = 2;
basis = 0;
maxiter = 30;
eom = 0;

Execute the function.

yld = yldbond(sd, md, rv, price, cpn, per, basis, maxiter, eom)
yld =
    0.0600    0.0611    0.0650