OFLYIELD

Updated 2023-10-06 21:02:42.830000

Syntax

SELECT [westclintech].[wct].[OFLYIELD](
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Issue, datetime,>
 ,<@First_coupon, datetime,>
 ,<@Last_coupon, datetime,>
 ,<@Rate, float,>
 ,<@Price, float,>
 ,<@Redemption, float,>
 ,<@Frequency, float,>
 ,<@Basis, nvarchar(4000),>)

Description

Use the scalar function OFLYIELD to calculate the yield from price per 100 face value of a bond with an odd first period and an odd last period. There is no closed-form solution for calculating the yield when there is more than one period to redemption; the solution is found by iteration.

Arguments

@Basis

is the type of day count to use. @Basis is an expression of the character string data type category.

{"columns":[{"field":"@Basis","width":313},{"field":"Day count basis","width":277}],"rows":[{"@Basis":"0 , 'BOND'","Day count basis":"US (NASD) 30/360"},{"@Basis":"1 , 'ACTUAL'","Day count basis":"Actual/Actual"},{"@Basis":"2 , 'A360'","Day count basis":"Actual/360"},{"@Basis":"3 , 'A365'","Day count basis":"Actual/365"},{"@Basis":"4 , '30E/360 (ISDA)' , '30E/360' , 'ISDA' , '30E/360 ISDA' , 'EBOND'","Day count basis":"European 30/360"},{"@Basis":"5 , '30/360' , '30/360 ISDA' , 'GERMAN'","Day count basis":"30/360 ISDA"},{"@Basis":"6 , 'NL/ACT'","Day count basis":"No Leap Year/ACT"},{"@Basis":"7 , 'NL/365'","Day count basis":"No Leap Year /365"},{"@Basis":"8 , 'NL/360'","Day count basis":"No Leap Year /360"},{"@Basis":"9 , 'A/364'","Day count basis":"Actual/364"},{"@Basis":"10 , 'BOND NON-EOM'","Day count basis":"US (NASD) 30/360 non-end-of-month"},{"@Basis":"11 , 'ACTUAL NON-EOM'","Day count basis":"Actual/Actual non-end-of-month"},{"@Basis":"12 , 'A360 NON-EOM'","Day count basis":"Actual/360 non-end-of-month"},{"@Basis":"13 , 'A365 NON-EOM'","Day count basis":"Actual/365 non-end-of-month"},{"@Basis":"14 , '30E/360 NON-EOM' , '30E/360 ICMA NON-EOM' , 'EBOND NON-EOM'","Day count basis":"European 30/360 non-end-of-month"},{"@Basis":"15 , '30/360 NON-EOM' , '30/360 ISDA NON-EOM' , 'GERMAN NON-EOM'","Day count basis":"30/360 ISDA non-end-of-month"},{"@Basis":"16 , 'NL/ACT NON-EOM'","Day count basis":"No Leap Year/ACT non-end-of-month"},{"@Basis":"17 , 'NL/365 NON-EOM'","Day count basis":"No Leap Year/365 non-end-of-month"},{"@Basis":"18 , 'NL/360 NON-EOM'","Day count basis":"No Leap Year/360 non-end-of-month"},{"@Basis":"19 , 'A/364 NON-EOM'","Day count basis":"Actual/364 non-end-of-month"}]}

@Frequency

the number of coupon payments per year. For annual payments, @Frequency = 1; for semi-annual, @Frequency = 2; for quarterly, @Frequency = 4; for bimonthly @Frequency = 6; for monthly @Frequency = 12. For bonds with @Basis = 'A/364' or 9, you can enter 364 for payments made every 52 weeks, 182 for payments made every 26 weeks, 91 for payments made every 13 weeks, 28 for payments made every 4 weeks, 14 for payments made every 2 weeks, and 7 for weekly payments. @Frequency is an expression of type float or of a type that can be implicitly converted to float.

@Rate

the bond’s annual coupon rate. @Rate is an expression of type float or of a type that can be implicitly converted to float.

@Redemption

the bond’s redemption value per 100 face value. @Redemption is an expression of type float or of a type that can be implicitly converted to float.

@Issue

the issue date of the bond; the date from which the bond starts accruing interest. @Issue is an expression that returns a datetime or smalldatetime value, or a character string in date format.

@First_coupon

the first coupon date of the bond. The period from the issue date until the first coupon date defines the odd interest period. All coupon dates from @First_coupon to @Last_coupon are assumed to occur at regular periodic intervals as defined by @Frequency, @First_coupon is an expression that returns a datetime or smalldatetime value, or a character string in date format.

@Maturity

the maturity date of the bond. @Maturity is an expression that returns a datetime or smalldatetime value, or a character string in date format.

@Settlement

the settlement date of the bond. @Settlement is an expression that returns a datetime or smalldatetime value, or a character string in date format.

@Last_coupon

the last coupon date of the bond prior to the maturity. The period from the last interest date until the maturity date defines the odd interest period. All coupon dates from @First_coupon to @Last_coupon are assumed to occur at regular periodic intervals as defined by @Frequency. @Last_coupon is an expression that returns a datetime or smalldatetime value, or a character string in date format.

@Price

the price of the bond. @Price is an expression of type float or of a type that can be implicitly converted to float.

Return Type

float

Remarks

If @Settlement is NULL then @Settlement = GETDATE().

If @Rate is NULL then @Rate = 0.

If @Price is NULL then @Price = 100.

If @Redemption is NULL then @Redemption = 100.

If @Frequency is NULL then @Frequency = 2.

If @Basis is NULL then @Basis = 0.

If @Frequency is any number other than 1, 2, 4, 6 or 12, or for @Basis = 'A/364' any number other than 1, 2, 4, 6 or 12 as well as 7, 14, 28, 91, 182 or 364 OFLYIELD returns an error.

If @Basis is invalid (see above list), OFLYIELD returns an error.

If @Maturity is NULL then an error is returned.

If @Last_coupon is NULL then an error is returned.

If @First_coupon is NULL then an error is returned.

If @Issue is NULL then an error is returned.

If @Settlement >= @First_coupon then the yield is calculated using ODDLYIELD.