ADJCURRYIELD

Updated 2023-10-06 11:48:56.097000

Syntax

SELECT [wct].[ADJCURRYIELD] (
   <@Settlement, datetime,>
  ,<@Maturity, datetime,>
  ,<@Price, float,>
  ,<@Rate, float,>
  ,<@Basis, nvarchar(4000),>)

Description

Use the scalar function ADJCURRYIELD to calculate the adjusted current yield for a bond. The formula for the adjusted current yield is:

\frac{R*100}{R}+\frac{(100-P)/Y}{P}

WhereR=the coupon rate expressed as decimal (1% = .01)P=the clean priceY=the year fraction from settlement date to maturity date.

Arguments

@Basis

The day-count convention used in the calculation of the year fraction from @Settlement to @Maturity. See YEARFRAC for valid day-count conventions.

@Rate

Coupon rate of the instrument expressed as decimal (1% = .01). @Rate must be of type float or of a type that implicitly converts to float.

@Settlement

Settlement date of the transaction. @Settlement must be of type datetime or of a type that implicitly converts to datetime.

@Maturity

Settlement date of the transaction. @Settlement must be of type datetime or of a type that implicitly converts to datetime.

@Price

Clean price. @Price must of a type float or of a type that implicitly converts to float.

Return Type

Examples

SELECT wct.ADJCURRYIELD(   '2017-03-03', --@Settlement

                           '2024-04-01', --@Maturity

                           101.94,       --@Price

                           0.02575,      --Rate

                           'ACTUAL'      --@Basis

                       ) as [Adj Curr Yield];

This produces the following result.

{"columns":[{"field":"Adj Curr Yield","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"Adj Curr Yield":"0.0225720215749495"}]}