Calculates the gross redemption yield if there is less than half a year to the next coupon payment and there in an whole number of years from the next coupon until the maturity of the bond.
The current market price of the fixed interest bond.
coupon
The coupon per annum payable in half-yearly installments.
nextCoupon
The next interest payment which will be received in `yearsToNextPayment' years expressed as a decimal.
interestDate
redemptionDate
The redemption date of the bond.
evaluationDate
The date on which the gross redemption yield is evaluation.
couponDate
The date on which the next coupon is paid.
upperLimit
The upper bound of the interval over which the yield will be sort. If you are unsure as to a suitable value then by setting this parameter to 2 you will cover all cases where the yield is less than 200 percent.
precision
The accuracy of the result. This is an internal parameter used by the equation solver algorithm, the smaller the precision required the more accurate the result but also the longer the computation will take. A suitable value for this parameter is 0.0001.
businessCalendarName
The name of one of the implemented business calendars, "London" by default.
Remarks
That is, the total
(annual) yield of the fixed interest bond from now until maturity where the tax implications
of the investor are not taken into account. This procedure offers the same functionality as the
method (double,double, double, int, double)
except that here the internal equation solving algorithms parameters can be set. That is, the interval over
which the yield is sort and the precision with which the result is returned can be specified.
Remarks:
In order to find the gross redemption yield we are required to solve an
equation of one variable (see PDF documentation for details). We find the solution of this equation
be applying a combination of the Bisection and Newton-Raphson methods where we can set the algorithm
parameters such as the upper bound of the solution and the precision used.
The gross redemption yield is often used within the UK gilt market.