Yield basis - Revision history

imported>Doug Williamson: Classify page.

2022-06-27T20:27:16Z

Classify page.

← Older revision		Revision as of 20:27, 27 June 2022
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	* [[Nominal annual rate]]		* [[Nominal annual rate]]
	* [[Periodic yield]]		* [[Periodic yield]]

			[[Category:Financial_products_and_markets]]

imported>Doug Williamson: Add notes about calculations to align with The Treasurer.

2015-12-03T21:12:15Z

Add notes about calculations to align with The Treasurer.

← Older revision		Revision as of 21:12, 3 December 2015
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	<span style="color:#4B0082">'''Example: Yield basis calculation'''</span>		<span style="color:#4B0082">'''Example: Yield basis calculation'''</span>

	When an instrument is quoted - on a <u>yield basis</u>, one period before its maturity - at a yield of 10% per period, this means that it is currently trading at a price of 100% DIVIDED BY (1 + 10% = 1.10) = 90.91% of its terminal value.		When an instrument is quoted - on a <u>yield basis</u>, one period before its maturity - at a yield of 10% per period, this means that it is currently trading at a price of 100% DIVIDED BY (1 + 10% = 1.10) = 90.91% of its terminal value, to the nearest 0.01%.


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	= 0.10/1.10		= 0.10/1.10

	= 9.09%		= 9.09% (to the nearest 0.01%)

imported>Doug Williamson: Standardise calculations.

2015-12-03T17:35:59Z

Standardise calculations.

← Older revision		Revision as of 17:35, 3 December 2015
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	<span style="color:#4B0082">'''Example: Yield basis calculation'''</span>		<span style="color:#4B0082">'''Example: Yield basis calculation'''</span>

	When an instrument is quoted - on a <u>yield basis</u>, one period before its maturity - at a yield of 10% per period, this means that it is currently trading at a price of 100% DIVIDED BY [1 + 10% = 1.10] = 90.91% of its terminal value.		When an instrument is quoted - on a <u>yield basis</u>, one period before its maturity - at a yield of 10% per period, this means that it is currently trading at a price of 100% DIVIDED BY (1 + 10% = 1.10) = 90.91% of its terminal value.


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	The relationship between the periodic yield (r) and the periodic discount rate (d) is:		The relationship between the periodic yield (r) and the periodic discount rate (d) is:

	d = r/[1+r]		d = r/(1+r)


	So in this case:		So in this case:

	d = 0.10/[1 + 0.10 = 1.10]		d = 0.10/(1 + 0.10)

			= 0.10/1.10

	= 9.09%		= 9.09%

imported>Doug Williamson: Spacing.

2015-12-02T19:47:44Z

Spacing.

← Older revision		Revision as of 19:47, 2 December 2015
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	When an instrument is quoted - on a <u>yield basis</u>, one period before its maturity - at a yield of 10% per period, this means that it is currently trading at a price of 100% DIVIDED BY [1 + 10% = 1.10] = 90.91% of its terminal value.		When an instrument is quoted - on a <u>yield basis</u>, one period before its maturity - at a yield of 10% per period, this means that it is currently trading at a price of 100% DIVIDED BY [1 + 10% = 1.10] = 90.91% of its terminal value.


	(The periodic ''discount rate'' on this instrument is 100% LESS 90.91% = 9.09%. So if the same instrument had been quoted on a <u>discount basis</u>, then the quoted discount rate per period = 9.09%.)		(The periodic ''discount rate'' on this instrument is 100% LESS 90.91% = 9.09%. So if the same instrument had been quoted on a <u>discount basis</u>, then the quoted discount rate per period = 9.09%.)


	The relationship between the periodic yield (r) and the periodic discount rate (d) is:		The relationship between the periodic yield (r) and the periodic discount rate (d) is:

	d = r/[1+r]		d = r/[1+r]


	So in this case:		So in this case:

	d = 0.10/[1 + 0.10 = 1.10]		d = 0.10/[1 + 0.10 = 1.10]

imported>Doug Williamson: Standardise headings with examples

2015-12-02T12:42:56Z

Standardise headings with examples

← Older revision		Revision as of 12:42, 2 December 2015
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	A basis of quoting the return on an instrument by reference to its current value (rather than by reference to its terminal value).		A basis of quoting the return on an instrument by reference to its current value (rather than by reference to its terminal value).

	~~For example when~~ an instrument is quoted - on a <u>yield basis</u>, one period before its maturity - at a yield of 10% per period, this means that it is currently trading at a price of 100% DIVIDED BY [1 + 10% = 1.10] = 90.91% of its terminal value.
			<span style="color:#4B0082">'''Example: Yield basis calculation'''</span>

			When an instrument is quoted - on a <u>yield basis</u>, one period before its maturity - at a yield of 10% per period, this means that it is currently trading at a price of 100% DIVIDED BY [1 + 10% = 1.10] = 90.91% of its terminal value.

	(The periodic ''discount rate'' on this instrument is 100% LESS 90.91% = 9.09%. So if the same instrument had been quoted on a <u>discount basis</u>, then the quoted discount rate per period = 9.09%.)		(The periodic ''discount rate'' on this instrument is 100% LESS 90.91% = 9.09%. So if the same instrument had been quoted on a <u>discount basis</u>, then the quoted discount rate per period = 9.09%.)
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	= 9.09%		= 9.09%


	== See also ==		== See also ==

imported>Doug Williamson: Link with related pages.

2015-10-27T09:17:55Z

Link with related pages.

← Older revision		Revision as of 09:17, 27 October 2015
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	== See also ==		== See also ==
	* [[Discount basis]]		* [[Discount basis]]
			* [[Effective annual rate]]
			* [[Nominal annual rate]]
			* [[Periodic yield]]

imported>Doug Williamson: Spacing 7/8/13

2013-08-07T15:12:20Z

Spacing 7/8/13

← Older revision		Revision as of 15:12, 7 August 2013
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	So in this case:		So in this case:
	d = 0.10/[1 + 0.10 = 1.10]		d = 0.10/[1 + 0.10 = 1.10]
	= 9.09%
			= 9.09%

	== See also ==		== See also ==
	* [[Discount basis]]		* [[Discount basis]]

imported>Administrator: CSV import

2012-10-23T14:21:02Z

CSV import

New page

A basis of quoting the return on an instrument by reference to its current value (rather than by reference to its terminal value).

For example when an instrument is quoted - on a <u>yield basis</u>, one period before its maturity - at a yield of 10% per period, this means that it is currently trading at a price of 100% DIVIDED BY [1 + 10% = 1.10] = 90.91% of its terminal value.

(The periodic ''discount rate'' on this instrument is 100% LESS 90.91% = 9.09%. So if the same instrument had been quoted on a <u>discount basis</u>, then the quoted discount rate per period = 9.09%.)

The relationship between the periodic yield (r) and the periodic discount rate (d) is:
d = r/[1+r]

So in this case:
d = 0.10/[1 + 0.10 = 1.10]
= 9.09%

== See also ==
* [[Discount basis]]