Login     Register

        Contact Us     Search

XLeratorDB/financial Documentation

SQL Server pricing function for discount securities


DIS

Updated: 10 October 2014


Use DIS to calculate the price or discount rate for a discount security. The formula for price is:

XLeratorDB formula for DIS function for SQL Server to calculate discount rate for a discount security 
Where:

B
=
Number of days in the year
DR
=
Discount Rate
DSM
=
Number of days from settlement date to maturity date
P
=
Price per 100 par value
RV
=
Redemption Value

The formula for discount rate is:

Where:

B
=
Number of days in the year
DR
=
Discount Rate
DSM
=
Number of days from settlement date to maturity date
P
=
Price per 100 par value
RV
=
Redemption Value

The DIS function allows you to pass values for B/DSM, RV and either DR or P and returns the other.
Syntax
SELECT [wct].[DIS](
  <@DSM, float,>
 ,<@RV, float,>
 ,<@P, float,>
 ,<@D, float,>)
Arguments
@DSM
the time in years from settlement to maturity. @DSM is an expression of type float or of a type that can be implicitly converted to float.
@RV
the redemption value. @RV is an expression of type float or of a type that can be implicitly converted to float.
@P
the price of the security. @P is an expression of type float or of a type that can be implicitly converted to float.
@D
the discount rate on the security. @D is an expression of type float or of a type that can be implicitly converted to float.
Return Type
float
Remarks
·         If @DSM is NULL then @DSM = 0.
·         If @RV is NULL then @RV = 100.
·         If @D is NULL and @P is NULL then NULL is returned.
·         If @D is not NULL then the function calculates the price from the inputs otherwise the function calculates the discount rate.
Examples
In this example we calculate the discount rate for a security with a price of 99.72 and redemption value of 100. There are 69 days from settlement to maturity and 365 days in the year.
SELECT
   wct.DIS(
       69/365E+00 --@DSM
      ,100.00     --@RV
      ,99.72      --@P
      ,NULL       --@D
      ) as [Discount Rate]
This produce the following result.
         Discount Rate
----------------------
    0.0148115942028987


In this example we calculate the price for a security with a discount rate of 1.9%. There are 131 days from settlement to maturity and 360 days in the year.
SELECT
   wct.DIS(
       131/360E+00--@DSM
      ,10000.00   --@RV
      , NULL      --@P
      ,0.019      --@D
      ) as [Price]
This produces the following result.
                 Price
----------------------
      9930.86111111111


In this example we calculate the price for a security with a discount rate of 5.5%. There are 190 days from settlement to maturity and 364 days in the year.
SELECT
   wct.DIS(
       190/364E+00--@DSM
      ,1000000.00 --@RV
      , NULL      --@P
      ,0.055      --@D
      ) as [Price]
This produces the following result.
                 Price
----------------------
      971291.208791209

 

See Also

 



Copyright 2008-2013 WestClinTech LLC         Privacy Policy        Terms of Service