Yield Calculation Method

Definition

Yield Calculation Method. The method by which the yield is calculated. This includes a formula for calculation and a specific day count convention and compounding. You would apply this calculation method on top of the underlying terms and conditions, do for example the holiday calenders and so on, are used in these formulae. For final cash flow: Japanese yield will round down accrued interest. Add: The actual underlying math. Wall Street uses the same ICMA formula.

Issues and Challenges

Initial reviewer notes 18 Nov: this uses the combination of the day count and the compounding gives you the name of the yield calculation method. Names are associated with algorithms. What yield you use to determining the present value. These are typically defined in a prospectus (for exchange traded) or Info Memorandum if it's traded in an OTC market. where it also defines the method itself. Action: look at some prospecti or get this from a vendor. Additional features 25 nov: Question - maybe Holiday calendar? Also date roll rules and roll back rules. These all apply. YC feeds in to Yield itself.

Disclaimer

This entry annotates a FIBO Ontology Class. FIBO is a trademark and the FIBO Ontology is copyright of the EDM Council, released under the MIT Open Source License. There is no guarantee that the content of this page will remain aligned with, or correctly interprets, the concepts covered by the FIBO ontology.