1. Cash Flow Engine Reference Guide
  2. Rate Conversion
  3. Rate Conversion Algorithms
  4. Conversion From Zero-Coupon Yield to Yield-to-Maturity

11.3.2 Conversion From Zero-Coupon Yield to Yield-to-Maturity

Based on equations Equation 9-1 and Equation 9-2, the system first calculates the values:

c(Ti)

AI(Ti)

After this the system solves Equation 9-1 and Equation 9-2 using the Newton-Raphson Algorithm.