Yield function returns YTM when the date is within 6 months. about excelfinancialfunctions

[luajalla]

Looks like there's an issue with yield function and the last period before maturity (n <= 1), it doesn't take the price into account:
https://github.com/fsprojects/ExcelFinancialFunctions/blob/master/src/ExcelFinancialFunctions/bonds.fs#L69

Unfortunately I can't test the fix or release a new package, my laptop is still not repaired, but here's a travis build (yield branch):
https://travis-ci.org/fsprojects/ExcelFinancialFunctions/builds/81302367

[paigeNOTRS]

Thank you for such a quick response. I resolved the issue on my side by using a different calculation for 1 coupon period. I was going to post it today. On my next update I will try the Travis branch.

The following is the solution I am using.

coupdays = Excel.FinancialFunctions.Financial.CoupDays(settle, dtPar, Frequency.SemiAnnual, DayCountBasis.UsPsa30_360);
coupdaysnc = Excel.FinancialFunctions.Financial.CoupDaysNC(settle, dtPar, Frequency.SemiAnnual, DayCountBasis.UsPsa30_360);
coupnum = Excel.FinancialFunctions.Financial.CoupNum(settle, dtPar, Frequency.SemiAnnual, DayCountBasis.UsPsa30_360);

E = coupdays;
A = coupdays - coupdaysnc;
DSR = coupdaysnc;

if (coupnum == 1)
{
newPar = (((ParPrce / 100 + coupon / frequency) - (dblPrice / 100 + (A / E * coupon / frequency))) / (dblPrice / 100 + (A / E * coupon / frequency))) * ((frequency * E) / DSR);
Debug.Print(newCall.ToString());
}
else
{
newPar = Excel.FinancialFunctions.Financial.Yield(settle, dtPar, coupon, dblPrice, ParPrce, Frequency.SemiAnnual, DayCountBasis.UsPsa30_360);
}

Thanks for your help and for such a great tool.

[jcoliz]

This issue refers to commit 2e9d9b1, which indeed looks like it did not get merged. Will leave this issue open to track.

[jcoliz]

Looks like this was actually already merged 9/21/2015, my mistake. I added an explicit test case.