User Manual

APPENDIX - Reference Information 87
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:
Price (given yield) with more than one coupon period to redemption:
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.
Yield (given price) with more than one coupon period to redemption:
Y
RV
100
--------
R
M
----
+


PRI
100
---------
A
E
---
R
M
----



+


–
PRI
100
---------
A
E
---
R
M
----



+
---------------------------------------------------------------------------
ME
DSR
--------------
=
PRI
RV
1
Y
M
----
+


N 1–
DSC
E
------------
+
-------------------------------------------
100
R
M
----
A
E
---
–
100
R
M
----

1
Y
M
----
+


K 1–
DSC
E
-----------
+
------------------------------------------
K 1=
N

+=