PRICEMAT
Updated: 5 August 2010
Use PRICEMAT to calculate the price per $100 of a security that pays interest at maturity.
Syntax
SELECT [westclintech].[wct].[PRICEMAT] (
<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Issue, datetime,>
,<@Rate, float,>
,<@Yld, 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.
@Issue
the issue date of the security. @Issue 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.
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 @Rate < 0 or @Yld < 0, PRICEMAT returns and error
· If @Settlement >= @Maturity, PRICEMAT returns an error
· If @Basis < 0 or @Basis > 4, PRICEMAT returns an error
Example
SELECT wct.PRICEMAT('11/12/2007'
,'4/13/2008'
,'11/11/2007'
,0.06
,0.059
,1)
Here is the result set
----------------------
100.040509404291