User Manual
Appendix: Reference Information 119
E
= number of days in coupon period in which the
settlement date falls
Y
= annual yield (as a decimal) on investment
with security held to redemption (YLD
P
100)
A
= number of days from beginning of coupon
period to settlement date (accrued days)
Note:
The first term computes present value of the redemption amount,
including interest, based on the yield for the invested period. The second
term computes the accrued interest agreed to be paid to the seller.
Yield (given price) with one coupon period or less to
redemption:
Y
RV R
M
PRI A
E
R
M
PRI A
E
R
M
ME
DSR
=
+
−+×
+×
×
×
100 100
100
Price (given yield) with more than one coupon period to
redemption:
PRI
RV
Y
M
R
M
Y
M
N
DSC
E
K
DSC
E
K
N
=
+
+
×
+
−+ −+
=
∑
1
100
1
11
1
−××
100
R
M
A
E
where:
N
= number of coupons payable between
settlement date and redemption date
(maturity date, call date, put date, etc.). (If
this number contains a fraction, raise it to the
next whole number; for example, 2.4 = 3)
DSC
= number of days from settlement date to next
coupon date
K
= summation counter
Note:
The first term computes present value of the redemption amount,
not including interest. The second term computes the present values for
all future coupon payments. The third term computes the accrued interest
agreed to be paid to the seller.