Financial Toolbox

Yield Functions

To illustrate toolbox yield functions, compute the yield of a bond that has odd first and last periods and settlement in the first period. First set up variables for settlement, maturity date, issue, first coupon, and a last coupon date.

• Settle          = '12-Jan-2000';
  Maturity        = '01-Oct-2001';
  IssueDate       = '01-Jan-2000';
  FirstCouponDate = '15-Jan-2000';
  LastCouponDate  = '15-Apr-2000';
  

Assume a face value of $100. Specify a purchase price of $95.70, a coupon rate of 4%, quarterly coupon payments, and a 30/360 day-count convention (Basis = 1).

• Price        = 95.7;
  CouponRate   = 0.04;
  Period       = 4;
  Basis        = 1;
  EndMonthRule = 1;
  

Calling the function

• Yield = bndyield(Price, CouponRate, Settle, Maturity, Period,... 
  Basis, EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate)
  

returns

Yield = 0.0659 (6.60%).

Pricing Functions

Fixed-Income Sensitivities