Returns the annual yield of a security that pays interest at maturity.

Namespace: Imsl.Finance
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
public static double Yieldmat(
	DateTime settlement,
	DateTime maturity,
	DateTime issue,
	double rate,
	double price,
	DayCountBasis basis
)
Visual Basic (Declaration)
Public Shared Function Yieldmat ( _
	settlement As DateTime, _
	maturity As DateTime, _
	issue As DateTime, _
	rate As Double, _
	price As Double, _
	basis As DayCountBasis _
) As Double
Visual C++
public:
static double Yieldmat(
	DateTime settlement, 
	DateTime maturity, 
	DateTime issue, 
	double rate, 
	double price, 
	DayCountBasis^ basis
)

Parameters

settlement
Type: System..::.DateTime
The DateTime settlement date of the security.
maturity
Type: System..::.DateTime
The DateTime maturity date of the security.
issue
Type: System..::.DateTime
The DateTime issue date of the security.
rate
Type: System..::.Double
A double which specifies the security's interest rate at date of issue.
price
Type: System..::.Double
A double which specifies the security's price per $100 face value.
basis
Type: Imsl.Finance..::.DayCountBasis
A DayCountBasis object which contains the type of day count basis to use.

Return Value

A double which specifies the annual yield of a security that pays interest at maturity.

Remarks

It is computed using the following:

{{{\left[ {1 + \left( {{{\it DIM} \over B} \times {\it rate}} \right)} \right] - \left[ {{{\it price} \over {100}} + \left( {{A \over B} \times {\it rate}} \right)} \right]} \over {{{\it price} \over {100}} + \left( {{A \over B} \times {\it rate}} \right)}}} \times {{B \over {\it DSM}}}
In the equation above, {\it DIM} represents the number of days in the period starting with the issue date and ending with the maturity date. {\it DSM} represents the number of days in the period starting with the settlement date and ending with the maturity date. A represents the number of days in the period starting with the issue date and ending with the settlement date. B represents the number of days in a year based on the annual basis.

See Also