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XLeratorDB/financial Documentation

SQL Server ODDFPRICE function


ODDFPRICE

Updated: 31 May 2014


Use ODDFPRICE to calculate the price per $100 face value of a security with an odd first period. The ODDFPRICE formula for a bond with an odd short first coupon is:

XLeratorDB formula for the ODDFPRICE SQL Server function
Where
                A = C * accrued days / E
                C = 100 * coupon rate / frequency
                DFC = the number of days from the issue date to the first coupon date
                DSC = number of days from settlement to coupon
                E = the number of days in the quasi-coupon period
                N = the number of coupons between the first coupon date and the maturity date
                RV = redemption value
                Y = yield / frequency
The ODDFPRICE formula for a bond with an odd long first coupon is:

Where
Ai = number of accrued days for the ith quasi-coupon period
C = 100 * coupon rate / frequency
DFCi = number of days from the issue date to the first quasi-coupon date (i=1) or the number of days in the quasi-coupon period (i>1).
DSC = number of days from settlement date to the next quasi-coupon date or first coupon date.
E = number of days in the quasi-coupon period in which settlement occurs
N = the number of coupons between the first coupon date and the maturity date
NCF = number of quasi-coupon periods that fit in the odd period
NLFi = normal length in days of the full ith quasi-coupon period within the odd period.
Nqf = the number of whole quasi-coupon periods between the settlement date and the first coupon.
RV = redemption value
Y = yield / frequency
Syntax
SELECT [wctFinancial].[wct].[ODDFPRICE](
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Issue, datetime,>
 ,<@First_coupon, 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. 
@Issue
the issue date of the security; the date from which the security starts accruing interest. @Issue is an expression that returns a datetime or smalldatetime value, or a character string in date format. 
@First_coupon
the first coupon date of the security. The period from the issue date until the first coupon date defines the odd interest period. All subsequent coupon dates are assumed to occur at regular periodic intervals as defined by @Frequency. @First_coupon 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 bimonthly @Frequency = 6; for monthly, @Frequency = 12. For bonds with @Basis = 'A/364' or 9, you can enter 364 for payments made every 52 weeks, 182 for payments made every 26 weeks, 91 for payments made every 13 weeks, 28 for payments made every 4 weeks, 14 for payments made every 2 weeks, and 7 for weekly payments. @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, '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
6, 'NL/ACT'
No Leap Year/ACT
7, 'NL/365'
No Leap Year /365
8, 'NL/360'
No Leap Year /360
9, 'A/364'
Actual/364
10, 'BOND NON-EOM'
US (NASD) 30/360 non-end-of-month
11, 'ACTUAL NON-EOM'
Actual/Actual non-end-of-month
12, 'A360 NON-EOM'
Actual/360 non-end-of-month
13, 'A365 NON-EOM'
Actual/365 non-end-of-month
14, '30E/360 NON-EOM', '30E/360 ICMA NON-EOM', 'EBOND NON-EOM'
European 30/360 non-end-of-month
15, '30/360 NON-EOM', '30/360 ISDA NON-EOM', 'GERMAN NON-EOM'
30/360 ISDA non-end-of-month
16, 'NL/ACT NON-EOM'
No Leap Year/ACT non-end-of-month
17, 'NL/365 NON-EOM'
No Leap Year/365 non-end-of-month
18, 'NL/360 NON-EOM'
No Leap Year/360 non-end-of-month
19, 'A/364 NON-EOM'
Actual/364 non-end-of-month
 
Return Type
float
Remarks
·         If @Settlement is NULL then @Settlement = GETDATE().
·         If @Rate is NULL then @Rate = 0.
·         If @Yield is NULL then @Yield = 0.
·         If @Redemption is NULL then @Redemption = 100.
·         If @Frequency is NULL then @Frequency = 2.
·         If @Basis is NULL then @Basis = 0.
·         If @Frequency is any number other than 1, 2, 4, 6 or 12, or for @Basis = 'A/364' any number other than 1, 2, 4, 6, or 12 as well as 7, 14, 28, 91, 182, or 364 ODDFPRICE returns an error.
·         If @Basis is invalid (see above list), ODDFPRICE returns an error.
·         If @Settlement >= @First_coupon then ODDFPRICE calls the PRICE function.
·         If @Maturity is NULL then an error is returned.
·         If @Issue is NULL then an error is returned.
·         If @First_coupon is NULL then an error is returned.
Examples
This bond has an odd short first coupon (meaning that the first coupon period is shorter than a normal coupon period) and settles on the issue date.
SELECT
   wct.ODDFPRICE(
      '2014-05-01',     --@Settlement
      '2034-06-15',     --@Maturity
      '2014-05-01',     --@Issue
      '2014-06-15',     --@FirstCoupon
      0.025,            --@Rate
      0.0276,           --@Yield
      100,              --@Redemption
      2,                --@Frequency
      1                 --@Basis
      ) as ODDFPRICE
This produces the following result.
             ODDFPRICE
----------------------
      96.0075631077824


This bond has odd long first coupon (meaning that the first coupon period is longer than a normal coupon period) and settles on the issue date.
SELECT
   wct.ODDFPRICE(
      '2014-05-01',     --@Settlement
      '2034-06-15',     --@Maturity
      '2014-05-01',     --@Issue
      '2014-12-15',     --@FirstCoupon
      0.025,            --@Rate
      0.0276,           --@Yield
      100,              --@Redemption
      2,                --@Frequency
      1                 --@Basis
      ) as ODDFPRICE
This produces the following result.
             ODDFPRICE
----------------------
      96.0033702877755


Here we calculate the price of a bond with an odd short first coupon with semi-annual coupons payable on March 30th and September 30th.
SELECT
   wct.ODDFPRICE(
      '2014-03-15',     --@Settlement
      '2034-09-30',     --@Maturity
      '2014-03-01',     --@Issue
      '2014-03-30',     --@FirstCoupon
      0.0257,           --@Rate
      0.0269,           --@Yield
      100,              --@Redemption
      2,                --@Frequency
      11                --@Basis
      ) as ODDFPRICE
This produces the following result.
             ODDFPRICE
----------------------
      98.1162077824376


Here's an example of the price calculation with a negative yield.
SELECT
   wct.ODDFPRICE(
      '2014-03-15',     --@Settlement
      '2024-09-30',     --@Maturity
      '2014-03-01',     --@Issue
      '2014-03-30',     --@FirstCoupon
      0.0157,           --@Rate
      -0.00235,         --@Yield
      100,              --@Redemption
      2,                --@Frequency
      11                --@Basis
      ) as ODDFPRICE
This produces the following result.
             ODDFPRICE
----------------------
      119.276365447988


This is an example of a bond paying interest every 26 weeks.
SELECT
   wct.ODDFPRICE(
      '2014-10-04',     --@Settlement
      '2029-12-12',     --@Maturity
      '2014-03-26',     --@Issue
      '2014-12-31',     --@FirstCoupon
      0.1250,           --@Rate
      0.1100,           --@Yield
      100,              --@Redemption
      182,              --@Frequency
      9                 --@Basis
      ) as ODDFPRICE
This produces the following result.
             ODDFPRICE
----------------------
      110.842432897841

 

See Also

 



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