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st: Internal rate of return


From   Gao LIU <gao.liu@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Internal rate of return
Date   Fri, 14 Mar 2008 02:16:16 -0400

Dear Statalisters:

I am struggling with calculating internal rate of return (IRR) of series
bonds. I would really appreciate if someone can help me out.

The dataset is as following:

Series    Issue_date         maturity               par_amount       coupon
                Issue_price
1         06/15/00           06/15/05              	7275      
     5                     100.75
2         06/15/00           06/15/06              	7265      
     5                     100.05
…….
14        06/15/00           06/15/15              	6480      
     4.5                    96


Observations in the dataset are different series of one bond issue, so they
all have the same issue date but different maturity dates.   I need to
calculate the internal rate of return of the whole issue by pooling the cash
flows of different series together. In other words, I need to generate only
one IRR based on the cash flow of all these series.

I was not able to find a stata function for IRR calculation, although I did
find an ado file (finirr). The ado file seems to calculate it with a ml
command and requires a data structure as follows:

Time      Cash_flow
Year_1  100
Year_2 -105

Any input on how to transform my dataset to fit the finirr format would also
be appreciated.

Thank you.

Best

Gao



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