cfyield

Compute yield to maturity for cash flow given price

Syntax

Yield = cfyield(CFlowAmounts,CFlowDates,Price,Settle)

Yield = cfyield(___,Name,Value)

Description

Yield = cfyield(CFlowAmounts,CFlowDates,Price,Settle) computes yield to maturity for a cash flow given price.

Yield = cfyield(___,Name,Value) specifies options using one or more name-value pair arguments in addition to the input arguments in the previous syntax.

Examples

Compute the Yield to Maturity for a Cash Flow When Given a Price

Use cfyield to compute yield to maturity for a cash flow when given a price.

Define data for the yield curve and price.

Settle = datenum('01-Jul-2003');
Price = 98;
CFlowAmounts = [30 40 30];
CFlowDates = datenum({'15-Jul-2004', '15-Jul-2005', '15-Jul-2006'})';

Compute the Yield.

 Yield = cfyield(CFlowAmounts, CFlowDates, Price, Settle)

Yield = 0.0099

Compute the Yield to Maturity for a Cash Flow When Given a Price Using datetime Inputs

Use cfyield to compute yield to maturity for a cash flow, when given a price using datetime inputs.

Settle = datenum('01-Jul-2003');
Price = 98;
CFlowAmounts = [30 40 30];
CFlowDates = datenum({'15-Jul-2004', '15-Jul-2005', '15-Jul-2006'})';

CFlowDates = datetime(CFlowDates,'ConvertFrom','datenum','Locale','en_US');
Settle = datetime(Settle,'ConvertFrom','datenum','Locale','en_US');
Yield = cfyield(CFlowAmounts, CFlowDates, Price, Settle)

Yield = 0.0099

Input Arguments

CFlowAmounts — Cash flow amounts

vector

Cash flow amounts, specified as an NINST-by-MOSTCFS matrix. Each row is a list of cash flow values for one instrument. If an instrument has fewer than MOSTCFS cash flows, the end of the row is padded with NaNs.

Data Types: double

CFlowDates — Cash flow dates

serial date number | date character vector | datetime array

Cash flow dates, specified as an NINST-by-MOSTCFS matrix. Each entry contains the date of the corresponding cash flow in CFlowAmounts.

Data Types: double | char | datetime

Price — Prices

vector

Prices specified as an NINST-by-1 vector.

Data Types: double

Settle — Settlement date

cell array of date character vectors | vector of serial date numbers

Settlement date, specified as an NMBS-by-1 vector using serial date numbers or a cell array of date character vectors. The Settle date is the date on which the cash flows are priced.

Data Types: double | char | cell

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: Yield = cfyield(CFAmounts,CFDates,Yield,Settle,'Basis',4,'CompoundingFrequency',4)

Note

An optional input of size NINST-by-1 is also acceptable as a single value applicable to all contracts. Single values are internally expanded to an array of size NINST-by-1.

'Basis' — Day-count basis

0 (actual/actual) (default) | positive integers of the set [1...13] | vector of positive integers of the set [1...13]

Day-count basis, specified as the comma-separated pair consisting of 'Basis' and a positive integer using a N-by-1 vector.

• 0 = actual/actual

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (PSA)

• 5 = 30/360 (ISDA)

• 6 = 30/360 (European)

• 7 = actual/365 (Japanese)

• 8 = actual/actual (ICMA)

• 9 = actual/360 (ICMA)

• 10 = actual/365 (ICMA)

• 11 = 30/360E (ICMA)

• 12 = actual/365 (ISDA)

• 13 = BUS/252

For more information, see Basis.

Data Types: double

'CompoundingFrequency' — Compounding frequency

2 (actual/actual) (default) | positive integers of the set [1...13] | vector of positive integers of the set [1...13]

Compounding frequency, specified as the comma-separated pair consisting of 'CompoundingFrequency' and a positive integer using a N-by-1 vector.

• 0 = actual/actual

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (PSA)

• 5 = 30/360 (ISDA)

• 6 = 30/360 (European)

• 7 = actual/365 (Japanese)

• 8 = actual/actual (ICMA)

• 9 = actual/360 (ICMA)

• 10 = actual/365 (ICMA)

• 11 = 30/360E (ICMA)

• 12 = actual/365 (ISDA)

• 13 = BUS/252

For more information, see Basis.

Data Types: double

'CompoundingFrequency' — Compounding frequency

SIA bases uses2, ICMA bases uses 1 (default) | integer with value of 1, 2, 3, 4, 6, or 12

Compounding frequency for yield calculation, specified as the comma-separated pair consisting of 'CompundingFrequency' and a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS vector.

• 1 — Annual compounding

• 2 — Semiannual compounding

• 3 — Compounding three times per year

• 4 — Quarterly compounding

• 6 — Bimonthly compounding

• 12 — Monthly compounding

Note

By default, SIA bases (0-7) and BUS/252 use a semiannual compounding convention and ICMA bases (8-12) use an annual compounding convention.

Data Types: double

Output Arguments

Yield — Yield for cash flows

vector

Yield for cash flows, returned as an NINST-by-1 vector.