Yield = bndyield(Price,CouponRate,Settle,Maturity) given NUMBONDS bonds with SIA date parameters and clean prices (excludes accrued interest), returns the bond equivalent yields to maturity. example Yield = bndyield(___,Name,Value) adds optional name-value arguments. exampleExamples...
Yield = cfyield(CFlowAmounts,CFlowDates,Price,Settle) computes yield to maturity for a cash flow given price. example Yield = cfyield(___,Name,Value) specifies options using one or more name-value pair arguments in addition to the input arguments in the previous syntax. exampleExamples...
[MYield,BEMBSYield] = mbsyield(Price,Settle,Maturity,IssueDate,GrossRate) computes a mortgage-backed security yield to maturity and the bond equivalent yield, given time information, and price at settlement. example [MYield,BEMBSYield] = mbsyield(___CouponRate,Delay,PrepaySpeed,PrepayMatrix...
[ZeroRates,CurveDates] = zbtyield(Bonds,YieldsSettle) uses the bootstrap method to return a zero curve given a portfolio of coupon bonds and their yields. A zero curve consists of the yields to maturity for a portfolio of theoretical zero-coupon bonds that are derived from the input Bonds...
Yield to maturity of the mortgage-backed security, returned as a NMBS-by-1 vector. This yield is compounded monthly (12 times a year). BEMBSYield— Bond equivalent yield of the mortgage-backed security vector Bond equivalent yield of the mortgage-backed security, returned as a NMBS-by-1 ve...
Yield—Yield to maturity of Treasury bonds per $100 notional atSettle scalar numeric|vector Yield to maturity of Treasury bonds per $100 notional atSettle, specified as a scalar numeric or anNINST-by-1vector. Data Types:double Settle—Settlement/valuation date of futures contract ...
This example shows how to compute the yield of a short-term zero-coupon instrument using a day-count basis of 30/360 (SIA). Get Settle = datetime(1993,6,24); Maturity = datetime(1993,11,1); Basis = 1; Price = 95; Yield = zeroyield(Price, Settle, Maturity, [], Basis) Yield ...
The yield curve shows the relationship between the interest rate and the time to maturity for a given borrower in a given currency. This toolbox provides functionality to fit yield curves to market data using parametric fitting models and bootstrapping, estimate parameters and analyze different ...
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Yield = stepcpnyield(Price,Settle,Maturity,ConvDates,CouponRates) Yield = stepcpnyield(___,Period,Basis,EndMonthRule,Face) Description Yield= stepcpnyield(Price,Settle,Maturity,ConvDates,CouponRates)computes the yield to maturity of bonds with stepped coupons given the price. The function supports...