The bond documents automatically calculate the Yield to Call/Put field for you with the Validate and Submit actions when there is a record on the Call/Put Schedule document section. The calculation is one of the following based on Schedule Type:
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) |