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ODDLYIELD

  • Article

Returns the yield of a security that has an odd (short or long) last period.

Syntax

ODDLYIELD(<settlement>, <maturity>, <last_interest>, <rate>, <pr>, <redemption>, <frequency>[, <basis>])

Parameters

Term Definition
settlement The security's settlement date. The security settlement date is the date after the issue date when the security is traded to the buyer.
maturity The security's maturity date. The maturity date is the date when the security expires.
last_interest The security's last coupon date.
rate The security's interest rate.
pr The security's price.
redemption The security's redemption value per \$100 face value.
frequency The number of coupon payments per year. For annual payments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4.
basis (Optional) The type of day count basis to use. If basis is omitted, it is assumed to be 0. The accepted values are listed below this table.

The basis parameter accepts the following values:

Basis Day count basis
0 or omitted US (NASD) 30/360
1 Actual/actual
2 Actual/360
3 Actual/365
4 European 30/360

Return Value

The security's yield.

Remarks

  • Dates are stored as sequential serial numbers so they can be used in calculations. In DAX, December 30, 1899 is day 0, and January 1, 2008 is 39448 because it is 39,448 days after December 30, 1899.

  • The settlement date is the date a buyer purchases a coupon, such as a bond. The maturity date is the date when a coupon expires. For example, suppose a 30-year bond is issued on January 1, 2008, and is purchased by a buyer six months later. The issue date would be January 1, 2008, the settlement date would be July 1, 2008, and the maturity date would be January 1, 2038, which is 30 years after the January 1, 2008, issue date.

  • ODDLYIELD is calculated as follows:

    $$\text{ODDLYIELD} = \bigg[ \frac{(\text{redemption} + ((\sum^{\text{NC}}_{i=1} \frac{\text{DC}_{i}}{\text{NL}_{i}}) \times \frac{100 \times \text{rate}}{\text{frequency}})) - (\text{par} + ((\sum^{\text{NC}}_{i=1} \frac{\text{A}_{i}}{\text{NL}_{i}}) \times \frac{100 \times \text{rate}}{\text{frequency}}))}{\text{par} + ((\sum^{\text{NC}}_{i=1} \frac{\text{A}_{i}}{\text{NL}_{i}}) \times \frac{100 \times \text{rate}}{\text{frequency}})} \bigg] \times \bigg[ \frac{\text{frequency}}{(\sum^{\text{NC}}_{i=1} \frac{\text{DSC}_{i}}{\text{NL}_{i}})} \bigg]$$

    where:

    • $\text{A}_{i}$ = number of accrued days for the $i^{th}$, or last, quasi-coupon period within odd period counting forward from last interest date before redemption.
    • $\text{DC}_{i}$ = number of days counted in the $i^{th}$, or last, quasi-coupon period as delimited by the length of the actual coupon period.
    • $\text{NC}$ = number of quasi-coupon periods that fit in odd period; if this number contains a fraction it will be raised to the next whole number.
    • $\text{NL}_{i}$ = normal length in days of the $i^{th}$, or last, quasi-coupon period within odd coupon period.

  • settlement, maturity, last_interest are truncated to integers.

  • basis and frequency are rounded to the nearest integer.

  • An error is returned if:

    • settlement, maturity, last_interest is not a valid date.
    • maturity > settlement > last_interest is not satisfied.
    • rate < 0.
    • pr ≤ 0.
    • redemption ≤ 0.
    • frequency is any number other than 1, 2, or 4.
    • basis < 0 or basis > 4.

  • This function is not supported for use in DirectQuery mode when used in calculated columns or row-level security (RLS) rules.

Example

The following DAX query:

Data Argument description
4/20/2008 Settlement date
6/15/2008 Maturity date
12/24/2007 Last interest date
3.75% Percent coupon
\$99.875 Price
\$100 Redemption value
2 Frequency is semiannual
0 30/360 basis 
EVALUATE
{
  ODDLYIELD(DATE(2008,4,20), DATE(2008,6,15), DATE(2007,12,24), 0.0375, 99.875, 100, 2, 0)
}

Returns the yield of a security that has an odd (short of long) last period, using the terms specified above.

[Value]
0.0451922356291692