Calculates the half-yearly holding period return on an interest payment date when the bond is held for a (whole) number of years.
public double HoldingPeriodReturnWithExplicitTime( doubleprice, doublecoupon, doublesellingPrice, intyearsHeld );
Parameters
price
The purchase price on the bond.
coupon
The annual coupon of the bond convertible half-yearly (that is, payable in half-yearly installments).
sellingPrice
The market price at which the investor can sell the bond (when the holding period is evaluated).
yearsHeld
The number of (whole) years over which the bond in held.
Return Value
The holding period return in decimal format (i.e. 1 percent = 0.01)
Remarks
Recall that, the holding
period return is the return over the period that the bond was held by the investor.
Remarks:
In order to find the holding period return 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: upper bound of the solution and the precision used. In particular, 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 if you desire a different level
of precision then you should us the method
(double,double,double,int,double,double).
The holding period return is used widely within the UK and US bond markets.