YIELDDISC

Updated 2024-02-29 21:43:29.033000

Syntax

SELECT [westclintech].[wct].[YIELDDISC] (
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Pr, float,>
 ,<@Redemption, float,>
 ,<@Basis, nvarchar(4000),>)

Description

Use the scalar function YIELDDISC to calculate the annual yield for a discounted security; for example, a treasury bill. The

YIELDDISC formula is:

\rm{Y=\frac{RV-P}{P}\times\frac{B}{DSM}}

Where:

{"columns":[{"field":"column 1"},{"field":"column 2"},{"field":"column 3"}],"rows":[{"column 1":"B","column 2":"=","column 3":"Number of days in the year"},{"column 1":"DSM","column 2":"=","column 3":"Number of days from settlement date to maturity date"},{"column 1":"P","column 2":"=","column 3":"Price per 100 par value"},{"column 1":"RV","column 2":"=","column 3":"Redemption Value"},{"column 1":"Y","column 2":"=","column 3":"Yield"}]}

Arguments

@Pr

the security’s price per 100 face value. @Pr is an expression of type float or of a type that can be implicitly converted to float.

@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":"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":"21 , 'Actual/ISDA'","Day count basis":"Actual/ISDA"}]}

@Settlement

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

@Maturity

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

@Redemption

the security’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.

Return Type

float

Remarks

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

If @Basis is NULL then @Basis = 0.

If @Basis is invalid then YIELDDISC returns an error.

Examples

This is a security maturing on 2014-12-15 with a 100 redemption value and a price of 99.72. The yield is quoted using the Actual/365 day-count convention.

SELECT wct.YIELDDISC(   '2014-10-07', --@Settlement

                        '2014-12-15', --@Maturity

                        99.72,        --@Pr

                        100,          --@Redemption

                        3             --@Basis

                    ) as [Yield];

This produces the following result.

{"columns":[{"field":"","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"Yield","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"":"","Yield":"0.0148531831156226"}]}

This is a security maturing on 2015-02-15 with a 10000 redemption value and a price of 9930.86. The yield is quoted using the Actual/360 day-count convention.

SELECT wct.YIELDDISC(   '2014-10-07', --@Settlement

                        '2015-02-15', --@Maturity

                        9930.86,      --@Pr

                        10000,        --@Redemption

                        2             --@Basis

                    ) as [Yield];

This produces the following result.

{"columns":[{"field":"","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"Yield","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"":"","Yield":"0.01913258805734"}]}

This is a security maturing on 2015-04-15 with a 1,000,000 redemption value and a price of 971291.21. The yield is quoted using the Actual/364 day-count convention.

SELECT wct.YIELDDISC(   '2014-10-07', --@Settlement

                        '2015-04-15', --@Maturity

                        971291.21,    --@Pr

                        1000000,      --@Redemption

                        9             --@Basis

                    ) as [Yield];

This produces the following result.

{"columns":[{"field":"","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"Yield","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"":"","Yield":"0.0566256516253354"}]}

YIELDDISC

Syntax

Description

Arguments

@Pr

@Basis

@Settlement

@Maturity

@Redemption

Return Type

Remarks

Examples

See Also