主要内容

zeroyield

Yield of zero-coupon instruments given price

所有的页面崩溃

Syntax

产量= Zeroyield（价格，定居点，成熟）
Yield = zeroyield(___，时期，基础，末日）

描述

example

Yield= zeroyield(价格,Settle,到期)计算给定价格的零鸡蛋仪器的产量。zeroyieldcalculates the bond-equivalent yield for a portfolio of general short and long-term zero-coupon instruments given the price of the instruments. In other words, if the zero-coupon computed with this yield is used to discount the reference bond, the value of that reference bond is equal to its price

example

Yield= zeroyield(___,时期,基础,EndMonthRule)adds optional arguments for时期,基础， 和EndMonthRule.

例子

collapse all

打开实时脚本

此示例显示了如何计算短期零息仪的产量。

定居='24-Jun-1993';到期='1-Nov-1993';基础= 0;价格= 95;产量= Zeroyield（价格，定居点，成熟度，[]，基础）
Yield = 0.1490
打开实时脚本

This example shows how to compute the yield of a short-term zero-coupon instrument using a day-count basis of 30/360 (SIA).

定居='24-Jun-1993';到期='1-Nov-1993';基础= 1; Price = 95; Yield = zeroyield(Price, Settle, Maturity, [], Basis)
Yield = 0.1492
打开实时脚本

此示例显示了如何计算长期零息仪的产量。

定居='24-Jun-1993';到期='15-Jan-2024';基础= 0;价格= 9; Yield = zeroyield(Price, Settle, Maturity, [], Basis)
产量= 0.0804

Input Arguments

collapse all

Reference bond price, specified as a scalar or anzero-经过-1向量。

Data Types:double

定居日期，指定为nzero-经过-1vector of serial date numbers.

Data Types:double

到期日期，指定为nzero-经过-1vector of serial date numbers.

Data Types:double

(Optional) Number of coupons in one year, specified as a positive integer for the values1,2,4,6,12in anzero-经过-1向量。

Data Types:double

(Optional) Day-count basis of the bond, specified as a positive integer using anzero-经过-1向量。

  • 0 = actual/actual

  • 1 = 30/360 (SIA)

  • 2 =实际/360

  • 3 = actual/365

  • 4 = 30/360（PSA）

  • 5 = 30/360 (ISDA)

  • 6 = 30/360 (European)

  • 7 = actual/365 (Japanese)

  • 8 = actual/actual (ICMA)

  • 9 =实际/360（ICMA）

  • 10 = actual/365 (ICMA)

  • 11 = 30/360E（ICMA）

  • 12 = actual/365 (ISDA)

  • 13 =巴士/252

有关更多信息，请参阅基础.

Note

When the到期date is fewer than 182 days away and the基础isactual/365,zeroyield使用简单的利益算法。如果到期is more than 182 days away,zeroyielduses present value calculations.

When the基础is实际/360，简单的兴趣算法使货币营销收益率短（到期1-6个月）。

Data Types:double

（可选）月底规则标志，指定为一个非负整数，值为0或者1using anzero-经过-1向量。This rule applies only when到期is an end-of-month date for a month having 30 or fewer days.

  • 0= Ignore rule, meaning that a bond coupon payment date is always the same numerical day of the month.

  • 1=设置规则，这意味着债券优惠券付款日期始终是本月的最后一天。

Data Types:double

Output Arguments

collapse all

Bond-equivalent yield for each zero-coupon instrument, returned as a column vector.

算法

To compute the yield when there is zero or one quasi-coupon period to redemption,zeroyield使用公式

Y i e l d = ( R V − P P ) × ( M × E D S R )

.

准共求时期are the coupon periods which would exist if the bond was paying interest at a rate other than zero. The first term calculates the yield on invested dollars. The second term converts this yield to a per annum basis.

When there is more than one quasi-coupon period to the redemption date,zeroyield使用公式

Y i e l d = ( ( R V P ) 1 N q − 1 + D S C E − 1 ) × M

The elements of the equations are defined as follows.

多变的 Definition

DSC

Number of days from the settlement date to next quasi-coupon date as if the security paid periodic interest.

dsr

定居日期到赎回日期（呼叫日期，看日期等）的天数。

E

准的天数-coupon period.

M

每年的准鸡蛋周期数（涉及特定安全性的标准）。

NQ

定居日期和赎回日期之间的准企业期间数量。如果此数字包含一个分数，请将其提高到下一个整数。

P

Dollar price per $100 par value.

RV

Redemption value.

Yield

赎回时年度收益（十进制）。

参考

[1] Mayle, Jan.Standard Securities Calculation Methods.第三版，第一卷。1，证券行业协会，公司，纽约，1993年，ISBN 1-882936-01-9。卷。2，1994，ISBN 1-882936-02-7。

Version History

在R2006a之前引入

See Also

|||

Topics