I want to graph a yield curve using the yield to maturity of my bonds. However, my coupon rates have different periodicities. Financial Mathematics for Actuaries by Wai-Sum Chan Yiu-Kuen Tse give the following formula for periodicity $2$.

$$ P=F r \sum_{j=1}^{2 n} \frac{1}{\left[1+\frac{i_{Y}}{2}\right]^{j}}+\frac{C}{\left[1+\frac{i_{Y}}{2}\right]^{2 n}} $$

Problem 1: What if the periodicity of the coupon payments is different than 2?

Problem 2: That formula would give a YTM convertible semianually. Then, I would have some annual effective YTM's and others would be conevrtible. How is that solved?



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.