Calculate Yield to Call/Put

Yield to Call/Put where Principal in Last Payment w/Compound Interest

Unlike later formulas, this one is solved in one pass whereas the others are recursive so that the action keeps trying different rates.

Y = ((FV / P)^1/N) - 1

Where:

Y = Yield to Call/Put

N  (Number of Years between Start Date and Call/Put Date) = (Call/Put Date – Start Date)

FV (Face Value) = Call/Put Price * Number of Bonds Issued

P = Purchase Price based on Major Type of Bond:

Zero Coupon then FV = Principal* – Total Interest - Discount (Other Amount 1)

Capital Appreciation or Convertible Capital Appreciation then FV = Principal* – Total Interest

*Principal is from the Schedule and not the Debt Instrument

Principal in Last Payment w/Rate Interest or w/Fixed Interest

Solving the following is a recursive effort so that a Y is obtained so that the right side equals P.

P = (CPN * (1 / Y) * (1 - (1 / (1+Y)^N)) + FV / (1+Y)^N

Where:

Y = Yield to Call/Put

N (Number of Coupon Payments) = Count of Regular Payment Schedule Details where Scheduled Date <= Call/Put Date

FV (Face Value) = Call/Put Price * Number of Bonds Issued

P (Purchase Price) = FV -- Discount (Other Amount 1) + Premium (Other Amount 2)

R = Interest Rate Per Period

CPN = Coupon Payment based on Schedule Type:

Principal In Last Payment w/Rate Interest then CPN = FV * R

Principal In Last Payment w/Fixed Interest then CPN = Fixed Interest Payment Amount

Amortized Payment

Solving the following is a recursive effort so that a Y is obtained so that the right side equals P.

P = (Coupon 1/(1+Y^1)) + (Coupon 2/(1+Y^2)) + (Coupon N/(1+Y^N))

Where:

Y = Yield to Call/Put

N (Number of Payments) = Count of Regular Payment Schedule Details where Scheduled Date <= Call/Put Date

Coupon # = Principal + Interest of Each Individual Schedule Detail

P (Purchase Price) = FV -- Discount (Other Amount 1) + Premium (Other Amount 2)