calculate the yield of a bond given its dirty price

Finance[YieldFromDirtyPrice] - calculate the yield of a bond given its dirty price

	Calling Sequence
	YieldFromDirtyPrice(bond, price, compounding, opts)

Parameters

bond	-	fixed- or floating-rate bond data structure; bond
price	-	non-negative constant; bond's dirty 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 YieldFromDirtyPrice command

Description

•	The YieldFromDirtyPrice command calculates a bond's yield based on the specified dirty price.

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

•	The parameter price is the desired dirty price.

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

Options

•	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.

Compatibility

•	The Finance[YieldFromDirtyPrice] command was introduced in Maple 15.

•	For more information on Maple 15 changes, see Updates in Maple 15.

Examples

(1)

(2)

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

(3)

(4)

(5)

(6)

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

(7)

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

(8)

(9)

(10)

(11)

(12)

Consider the same bond but with semi-annual coupons.

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

(13)

(14)

(15)

(16)

(17)

Note that since the bond has semi-annual coupons, the Compounded yield is based on semi-annual compounding.

(18)

(19)

(20)

	See Also
	Finance[AccruedAmount], Finance[CleanPrice], Finance[DayCounter], Finance[DirtyPrice], Finance[FixedCouponBond], Finance[FloatingRateBond], Finance[FormatDate], Finance[ParseDate], Finance[YearFraction], Finance[YieldFromCleanPrice], Finance[ZeroCouponBond]