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oMM_ConvertYield( ) Example

Description

Consider a money market instrument, with a maturity of January 20 2004 and an accrual basis of actual/365. If the discount rate on May 20 2003 is 6.30%, then the equivalent yield is calculated as follows:

 

 

Function Specification

=oMM_ConvertYld(0.063, "20/5/03", "20/1/04", 2)

 

 

Solution

The equivalent yield of the instrument is calculated as follows:


where:
DR = 6.30%
DIP = 245 (20/1/04 - 20/5/03)
DIY = 365

 

 

For further details on how the above yield is calculated, see the money market formula.

 

 

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