PRICE
Updated: 5 August 2010
Use PRICE to calculate the price per $100 for a security that pays periodic interest.
Syntax
SELECT [westclintech].[wct].[PRICE] (
<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Rate, float,>
,<@Yld, float,>
,<@Redemption, float,>
,<@Frequency, float,>
,<@Basis, nvarchar(4000),>)
Arguments
@Settlement
the settlement date of the security. @Settlement is an expression that returns a datetime or smalldatetime value, or a character string in date format.
@Maturity
the maturity date of the security. @Maturity is an expression that returns a datetime or smalldatetime value, or a character string in date format.
@Rate
the security’s annual coupon rate. @Rate is an expression of type float or of a type that can be implicitly converted to float.
@Yld
the security’s annual yield. @Yld is an expression of type float or of a type that can be implicitly converted to float.
@Redemption
the security’s redemption value per 100 face value. @Redemption is an expression of type float or of a type that can be implicitly converted to float.
@Frequency
the number of coupon payments per year. For annual payments, @Frequency = 1; for semi-annual, @Frequency = 2; for quarterly, @Frequency = 4; for monthly, @Frequency = 12. @Frequency is an expression of type float or of a type that can be implicitly converted to float.
@Basis
is the type of day count to use. @Basis is an expression of the character string data type category.
|
@Basis
|
Day count basis
|
|
0 or omitted
|
US (NASD) 30/360
|
|
1
|
Actual/Actual
|
|
2
|
Actual/360
|
|
3
|
Actual/365
|
|
4
|
European 30/360
|
Return Type
float
Remarks
· If @Yld < 0 or if @Rate < 0, PRICE returns an error
· If @Redemption < 0, PRICE returns an error
· If @frequency is any number other than 1, 2, 4, or 12, PRICE returns an error
· If @Settlement >= @maturity, PRICE returns an error
· If @Basis < 0 or @Basis > 4, PRICE returns an error
Example
SELECT wct.PRICE('12/22/2007'
,'12/15/2009'
,0.05
,0.06
,100
,2
,0)
Here is the result set
----------------------
98.1571079204691