Computes the net present value (NPV) of a non-periodic cash flow with constant discount rate. The rate parameter is the annual discount rate for a 365 day year. The values parameter is indexed by I and contains the cash flow amounts, with positive values indicating inflows (payments received) and negative values indicating outflows (payments made). The dates parameter must also be indexed by I and contains the date in which each payment is made. The date is expressed as the number of days since the date origin (e.g., Jan 4, 1904).
A treasury note with a coupon rate of 5.5% is being offered on the second-hand market for $102.32 on 10 Nov 2008. The note matures on 15 May 2009, and its next coupon payment occurs on 15 Nov 2008. Calculate its yield-to-maturity.
If we purchase this on 10 Nov 2008, our cash flow for this note is given by the following schedule:
|10 Nov 2008||-$102.32|
|15 Nov 2008||$2.75|
|15 May 2009||$102.75|
The yield to maturity is given by:
Irr(cfAmount,cfDate,cfDate) → 6.36%