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Hi Guys,Would anyone have a link to the gross redemption yield formula as calculated by the Joint Index and the Classification Committee of the Institute and Faculty of Actuaries as reported in the Journal of the Institute of Actuaries (Vol 105, Part 1, 1978, page 18)?ThanksPaul

Link to pdfDoesn't appear that you need to be a member to access this as it worked when I sent the link to a colleague. Hopefully it will work for you too.

Thanks Bucklersbury! This formula uses dirty price right? (I'm not a 100% on the wording)Paul

Yes - it's using dirty price.I think this just a standard i.r.r type calc but the formula has been 'simplified' by using a formula for a geometric series, and then the yield is quoted semiannually.I used to have to learn all this stuff for actuarial exams. You got given a green book with a load of tables in the back for PV of annuities etc. so that in an exam you could quickly calculate yields / annuity values etc. Probably still happens, which seems a bit ridiculous in this day and age where pretty much everyone has access to a computer and wouldn't try and calculate this stuff by hand.

Thanks Bucklersbury,I understand the formula however the term C1 is a point of confusion, because it says that C1 "may be the first frational payment" or "may be" zero. However I argue that if P = Dirty price (includes accrued interest) then this C1 term should also include accrued interest. Therefore C1 should be the whole first coupon (not a fractional of the first coupon)Any thoughts?Paul