Finance
YieldFromCleanPrice
calculate the yield of a bond given its clean price
Calling Sequence
Parameters
Options
Description
Examples
Compatibility
YieldFromCleanPrice(bond, price, compounding, opts)
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
accuracy = positive -- This option specifies the desired accuracy of the result. The default value is 1e-9.
evaluationdate = a string containing a date specification in a format recognized by ParseDate or a Date data structure -- This option specifies the evaluation date. By default this is set to the global evaluation date (see EvaluationDate).
iterations = posint -- This option specifies the maximum number of iterations. The default value is 100000.
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.
Consider a zero-coupon bond with a face value of 100 maturing in five years.
Consider a 3-year bond with a face value of 100 that pays a fixed coupon of 3% issued on March 15, 2005.
We will use the Thirty360European day counter.
Calculate the bond's clean price given its yield and vice-versa.
The Finance[YieldFromCleanPrice] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
See Also
Finance[AccruedAmount]
Finance[CleanPrice]
Finance[DayCounter]
Finance[DirtyPrice]
Finance[FixedCouponBond]
Finance[FloatingRateBond]
Finance[FormatDate]
Finance[ParseDate]
Finance[YearFraction]
Finance[YieldFromDirtyPrice]
Finance[ZeroCouponBond]
Download Help Document