周末没事干,利用matlab解方程的能力简单代码实现了一下可转债收益率的计算
税前收益:
表示从现在开始第n次付息利率,
表示税前年化收益率,
表示距离转债到期剩余的时间,用年表示;
税后收益:
可转债利息需要交税20%
代码如下:
clc;close all;
%% 可转债收益率计算
% By 怀英 2023.3.18
date_end = input("请输入可转债到期日期?yyyyMMdd\n","s");
period = input("可转债持续时间?单位:年\n");
interest = zeros(1,period);
for i = 1:period
disp(['请输入第',num2str(i),'年付息利率']);
interest(i)=input(" ");
end
price_now = input("请输入可转债现价?\n");
return_end = input("请输入到期还本?\n");
date_end = datetime(date_end,'InputFormat','yyyyMMdd');
date_now = datetime('now');
remain_year=years(date_end-date_now);
interest_time = ceil(remain_year);%付息次数
tax_rate = 0.8;
syms x y
equation = return_end+interest(end) - price_now*(1+x)^remain_year;
equation_tax = (return_end+interest(end)-100)*tax_rate + 100 - price_now*(1+y)^remain_year;
for i = 1:interest_time - 1
equation = equation + interest(end-i) * (1+x)^i;
equation_tax = equation_tax + interest(end-i) * tax_rate * (1+y)^i;
end
YTM = solve(equation,x);
YTM_tax = solve(equation_tax,y);
disp(['可转债到期收益率为',num2str(double(YTM)*100),'%'])
disp(['可转债税后到期收益率为',num2str(double(YTM_tax)*100),'%'])