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On the relationship between gross and net yields to redemption—practical versus theoretical approximations

Published online by Cambridge University Press:  20 April 2012

Neville Hathaway ,
John Rickard  and
Ivan Woods
Neville Hathaway
Affiliation:
Graduate School of Management, University of Melbourne
John Rickard
Affiliation:
Graduate School of Management, University of Melbourne
Ivan Woods
Affiliation:
Graduate School of Management, University of Melbourne
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Extract

In the market for fixed-interest securities, several variants of the yield to redemption (YTR) concept are used. The YTR of a stock is simply the internal rate of return which the holder can expect to receive if he she holds the stock until maturity. Since income tax has to be paid by some, if not all investors on the interest received, and in some cases on the capital gain as well, a distinction is made between the gross YTR and the net YTR.

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 113 , Issue 3 , December 1986 , pp. 509 - 520
Copyright
Copyright © Institute and Faculty of Actuaries 1986

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References

Copson, E. T. (1965) Asymptotic Expansions. University Press, Cambridge.CrossRefGoogle Scholar
Erdélyi, A. (1956) Asymptotic Expansions. Dover, New York.Google Scholar
Sirovich, L. (1971) Techniques of Asymptotic Analysis. Springer-Verlag, New York.CrossRefGoogle Scholar