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Author: junkman02 Big red star, 1000 posts Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 35400  
Subject: Re: Exchange-Traded Debt Spreadsheets Date: 11/26/2009 12:12 PM
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I still haven't worked up the YTW calculation ... which would be nice. There are other things that need doing here too.


Joel,

Possibly, the following info might be useful to you. It would seem (per their directions) that YTW could be handled in your SS with an IF formula of the sort: IF "call" < "maturity", THEN x, ELSE "maturity" which would be embedded in the master foruma for calculating YTMs. At worst, another column would be added to the SS and the ELSE result would be null if there were no YTW to calculate.

What got me looing at this was an attempt to find discussions of YTB (Yield to Best) which no one seems to worry about. Howvever, and belatedly, I think the concept is crucial to bond investing. But that's a post for another time.

Yield-to-Maturity (YTM) Formula for Bonds using Microsoft Excel 
YTM = Yield(settlement, maturity, rate, price, redemption, frequency, basis)

•Settlement = Date in quotes of settlement.
•Maturity = Date in quotes when bond matures.
•Rate = Nominal coupon interest rate.
•Price = Redemption value as a percent of par value.
•Redemption = Price as a percent of par value.
•Frequency = Number of coupon payments per year.
?1 = Annual
?2 = Semiannual
?4 = Quarterly
•Basis = Day count basis.
?0 = 30/360 (U.S. NASD basis). This is the default if the basis is omitted.
?1 = actual/actual (actual number of days in month/year).
?2 = actual/360
?3 = actual/365
?4 = European 30/360
Note that yield to call (YTC) and yield to put (YTP) can also be calculated using this formula.

To calculate the yield to call:

•Maturity = Date of earliest possible call.
•Redemption = Call price.
To calculate yield to put:

•Redemption = Date that put can be exercised.

Yield to Worst, Yield to Sinker, and Yield to Average Life can be calculated by substituting
the appropriate date for the maturity date.



http://thismatter.com/money/bonds/bond-yields.htm
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