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ODDFYIELD

  • Article

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

Syntax

ODDFYIELD(<settlement>, <maturity>, <issue>, <first_coupon>, <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.
issue The security's issue date.
first_coupon The security's first 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.

  • ODDFYIELD is calculated using an iterative method. It uses the Newton method based on the formula used for the function ODDFPRICE. The yield is changed through 100 iterations until the estimated price with the given yield is close to the price. See ODDFPRICE for the formula that ODDFYIELD uses.

  • settlement, maturity, issue, and first_coupon are truncated to integers.

  • basis and frequency are rounded to the nearest integer.

  • An error is returned if:

    • settlement, maturity, issue, or first_coupon is not a valid date.
    • maturity > first_coupon > settlement > issue 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

Data Argument description
November 11, 2008 Settlement date
March 1, 2021 Maturity date
October 15, 2008 Issue date
March 1, 2009 First coupon date
5.75% Percent coupon
84.50 Price
100 Redemptive value
2 Frequency is semiannual
0 30/360 basis

The following DAX query:

EVALUATE
{
  ODDFYIELD(DATE(2008,11,11), DATE(2021,3,1), DATE(2008,10,15), DATE(2009,3,1), 0.0575, 84.50, 100, 2, 0)
}

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

[Value]
0.0772455415972989