A yield measure that constitutes the holding period return of a fixed-income instrument. For an instrument with a single cash payment during its life, the holding period yield (HPY) is given by:
where: P0 is the purchase price of the instrument paid at the beginning of holding period, P1 is the price received at maturity, D1 is the cash income (interest payment) received at maturity
For pure discount instruments (such as T-bills), interest income is zero (D1=0). Therefore, the holding period yield is:
