Calculates the gross redemption yield if there is less than half a year to the next coupon payment and there is a whole number of years from the next coupon until the maturity of the bond.
public double GrossRedemptionYieldWhenCouponDueWithExplicitTime( doubleprice, doublecoupon, doublenextCoupon, intyears2Redemption, doubleyears2Coupon );
Parameters
price
The current market price of the bond.
coupon
The coupon per annum payable in half-yearly installments.
nextCoupon
The next interest payment which will be received in years2Coupon years expressed as a decimal.
years2Redemption
The number of (whole) years from the next interest payment date to the redemption date.
years2Coupon
The number of years (in decimal format) until the next coupon payment.
Return Value
The gross redemption yield in decimal format (i.e. 0.01 = 1 percent).
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.
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 with pre-set
algorithm parameters such as the upper bound of the solution and the precision used. The upper
bound of the yield over which the solution of sort is 200 percent and the precision
used is 0.001, if the yield falls out side this range or you desire a different level
of precision then you should us the method
(double,double,double,int,double,double,double).
The gross redemption yield is often used within the UK gilt market.