YIELDDISC

[jjost]

Does anyone know what formula the yielddisc function uses? Should not
the result of the yielddisc function be the same as the yield function
where the rate is set at 0% and the frequency at 1?

Thanks,
John

 

[Paul Corrado]

The YIELDDISC formula is not in help, (the YIELD formula is) but it should
be the simple form of (Redemption/Face)^(1/n)-1. And yes, the answers
should definitely be the same given your example.

I plugged in

1/1/03 Settlement
1/1/04 Maturity
95 pr
100 redemption
0 coupon
1 frequency
1 basis

And got the same answer for both formulae so it looks like it is calculating
as it should. ie the yield for a zero calculated by the YIELD formula is
the same as the yield calculated with YIELDDISC

Maybe with the details of your inputs we could recreate the error you seem
to be experiencing.

PC

 

[jjost]

The YIELDDISC formula is not in help, (the YIELD formula is) but it should
be the simple form of (Redemption/Face)^(1/n)-1. And yes, the answers
should definitely be the same given your example.

I plugged in

1/1/03 Settlement
1/1/04 Maturity
95 pr
100 redemption
0 coupon
1 frequency
1 basis

And got the same answer for both formulae so it looks like it is calculating
as it should. ie the yield for a zero calculated by the YIELD formula is
the same as the yield calculated with YIELDDISC

Maybe with the details of your inputs we could recreate the error you seem
to be experiencing.

PC

Thanks, but the two functions have different results if the maturity
is more than one year. Actually, I finally figured out the
difference. YIELD has periodic compounding, but YIELDDISC does not.

Regards,
John