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XLeratorDB/financial Documentation

SQL Server disambiguation function for discount securities


DISFACTORS

Updated: 23 May 2016


Use the table-valued function DISFACTORS to return the components used in the calculation of price, discount rate, and yield for a discount security.
Syntax
SELECT * FROM [wct].[DISFACTORS](
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Redemption, float,>
 ,<@DRate, float,>
 ,<@Price, float,>
 ,<@Yield, 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. 
@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.
@DRate
the discount rate. @DRate is an expression of type float or of a type that can be implicitly converted to float.
@Price
the security’s price per 100 face value. @Price is an expression of type float or of a type that can be implicitly converted to float.
@Yield
the security’s annual yield. @Yield 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, 'BOND'
US (NASD) 30/360
1, 'ACTUAL'
Actual/Actual
2, 'A360'
Actual/360
3, 'A365'
Actual/365
4, '30E/360 (ISDA)', '30E/360', 'ISDA', '30E/360 ISDA', 'EBOND'
European 30/360
5, '30/360', '30/360 ISDA', 'GERMAN'
30/360 ISDA
7, 'NL/365'
No Leap Year /365
8, 'NL/360'
No Leap Year /360
9, 'A/364'
Actual/364
21, 'Actual/ISDA'
Actual/ISDA
Return Type
RETURNS TABLE (
      [DSM] [float] NULL,
      [B] [float] NULL,
      [P] [float] NULL,
      [D] [float] NULL,
      [Y] [float] NULL,
      [T] [float] NULL
)

Column
Description
DSM
Number of days from settlement to maturity
B
Number of days from in a year.
P
Price
D
Discount Rate
Y
Yield
T
Time, in years, from @Settlement to @Maturity; DSM/B

Remarks
·         If @Settlement is NULL then @Settlement = GETDATE().
·         If @Basis is NULL then @Basis = 2.
·         If @Redemption is NULL then @Redemption = 100.
·         If @Basis invalid then DISFACTORS returns an error.
·         If @Maturity is NULL then an error is returned.
·         If @DRate is NULL and @Price is NULL and @Yield is NULL nothing is returned.
·         If @DRate is NOT NULL then D = @DRate and P and Y are calculated using @DRate else if @Price is NOT NULL then P = @Price and D and Y are calculated from @Price else if @Yield is NOT NULL then Y = @Yield and P and D are calculated from @Yield.
Examples
In this example we calculate the factors for a security maturing on 2014-12-15 with a 100 redemption value and a price of 99.72. The discount rate is quoted using the Actual/365 day-count convention.
SELECT
   *
FROM
   wct.DISFACTORS(
    '2014-10-07'  --@Settlement
   ,'2014-12-15'  --@Maturity
   ,100           --@Redemption
   ,NULL          --@DRate
   ,99.72         --@Price
   ,NULL          --@Yield
   ,3             --@Basis
   )
This produces the following result (which has been reformatted for ease of reading).

DSM
B
P
D
Y
T
69
365
99.72
0.014811594
0.014853183
0.189041096

In this example, we calculate the factors for a security maturing on 2015-02-15 with a 10000 redemption value and a discount rate of 1.9%. The discount rate is quoted using the Actual/360 day-count convention.
SELECT
   *
FROM
   wct.DISFACTORS(
    '2014-10-07'  --@Settlement
   ,'2015-02-15'  --@Maturity
   ,10000         --@Redemption
   ,0.019         --@DRate
   ,NULL          --@Price
   ,NULL          --@Yield
   ,2             --@Basis
   )
This produces the following result.

DSM
B
P
D
Y
T
131
360
9930.861111
0.019
0.019132278
0.363888889

In this example we calculate the factors for a security maturing on 2015-04-15 with a 1,000,000 redemption value and a yield of 0.05662566. The yield is quoted using the Actual/364 day-count convention.
SELECT
   *
FROM
   wct.DISFACTORS(
    '2014-10-07'  --@Settlement
   ,'2015-04-15'  --@Maturity
   ,1000000       --@Redemption
   ,NULL          --@DRate
   ,NULL          --@Price
   ,0.05662566    --@Yield
   ,9             --@Basis
   )
This produces the following result.

DSM
B
P
D
Y
T
190
364
971291.2059
0.055000006
0.05662566
0.521978022

 

See Also

 



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