ODDLYIELD function

This article describes the formula syntax and usage of the ODDLYIELD function in Microsoft Excel.

Description

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])

Important: Dates should be entered by using the DATE function, or as results of other formulas or functions. For example, use DATE(2008,5,23) for the 23rd day of May, 2008. Problems can occur if dates are entered as text.

The ODDLYIELD function syntax has the following arguments:

• Settlement    Required. 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    Required. The security's maturity date. The maturity date is the date when the security expires.

• Last_interest    Required. The security's last coupon date.

• Rate    Required. The security's interest rate

• Pr    Required. The security's price.

• Redemption    Required. The security's redemption value per $100 face value.

• Frequency    Required. 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.

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

Remarks

• Microsoft Excel stores dates as sequential serial numbers so they can be used in calculations. By default, January 1, 1900 is serial number 1, and January 1, 2008 is serial number 39448 because it is 39,448 days after January 1, 1900.

• 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.

• Settlement, maturity, last_interest, and basis are truncated to integers.

• If settlement, maturity, or last_interest is not a valid date, ODDLYIELD returns the #VALUE! error value.

• If rate < 0 or if pr ≤ 0, ODDLYIELD returns the #NUM! error value.

• If basis < 0 or if basis > 4, ODDLYIELD returns the #NUM! error value.

• The following date condition must be satisfied; otherwise, ODDLYIELD returns the #NUM! error value:

  maturity > settlement > last_interest

• ODDLYIELD is calculated as follows:

  

  where:

  • Ai = number of accrued days for the ith, or last, quasi-coupon period within odd period counting forward from last interest date before redemption.

  • DCi = number of days counted in the ith, or last, quasi-coupon period as delimited by the length of the actual coupon period.

  • 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.

  • NLi = normal length in days of the ith, or last, quasi-coupon period within odd coupon period.

Example

Copy the example data in the following table, and paste it in cell A1 of a new Excel worksheet. For formulas to show results, select them, press F2, and then press Enter. If you need to, you can adjust the column widths to see all the data.

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
Formula	Description	R esult
=ODDLYIELD(A2, A3, A4, A5, A6, A7, A8, A9)	The yield of a security that has an odd (short or long) last period, for the bond using the terms in cells A2:A10 as function arguments. Result is 0.04519, or 4.52%.	4.52%