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XLeratorDB/financial Documentation

SQL Server ODDLPRICE function


ODDLPRICE

Updated: 30 June 2014


Use ODDLPRICE to calculate the price per 100 face value of a bond with an odd last coupon period. The formula for price when the settlement date is less than the last coupon date is:

XLeratorDB formula for the ODDLPRICE SQL Server function
Where

C
=
100 * coupon rate / frequency
Y
=
yield / frequency
RV
=
redemption value
DSC
=
number of days from settlement to coupon
N
=
the number of coupons between the settlement date and the last coupon date
E
=
the number of days in the current coupon period
A
=
C * accrued days / E
NCL
=
the number of quasi-coupons from the last coupon date to the quasi-maturity date
DLCi
=
the number of days from the previous coupon date to the lesser of the next coupon date and the maturity date in the ith quasi-coupon period
NLLi
=
the normal length in days of the full ith quasi-coupon period in the odd last period
LC
=
C *

The formula for price when the settlement date is greater than or equal to the last coupon date is:

Where

C
=
100 * coupon rate / frequency
Y
=
yield / frequency
RV
=
redemption value
NCL
=
the number of quasi-coupons from the last coupon date to the quasi-maturity date
DSCi
=
number of days from settlement date (or beginning of quasi-coupon period) to the next quasi-coupon within odd period (or to redemption date) for the ith quasi-coupon period
Ai
=
number of accrued days for the ith quasi-coupon period within odd period counting forward from the last interest date before redemption
DLCi
=
the number of days from the previous coupon date to the lesser of the next coupon date and the maturity date in the ith quasi-coupon period
NLLi
=
the normal length in days of the full ith quasi-coupon period in the odd last period
LC
=
C *

 
Syntax
SELECT [wctFinancial].[wct].[ODDLPRICE] (
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Last_interest, 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. 
@Last_interest
the last coupon date of the security prior to the maturity. The period from the last interest date until the maturity date defines the odd interest period. All previous coupon dates are assumed to occur at regular periodic intervals as defined by @Frequency. @Last_interest 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 ODDLPRICE returns an error.
·         If @Basis is invalid (see above list), ODDLPRICE returns an error.
·         If @Maturity is NULL then an error is returned.
·         If @Last_interest is NULL then an error is returned.
Examples
This is a bond with an odd short last coupon period where the settlement date is in the last coupon period.
SELECT
   wct.ODDLPRICE(
      '2014-10-01',     --@Settlement
      '2014-12-15',     --@Maturity
      '2014-09-15',     --@Last_interest
      0.0225,           --@Rate
      0.0010,           --@Yield
      100,              --@Redemption
      2,                --@Frequency
      1                 --@Basis
      ) as Price
This produces the following result.
                 Price
----------------------
      100.445329120863


This is a bond with an odd long last coupon period with a settlement date in the last coupon period.
SELECT
   wct.ODDLPRICE(
      '2014-10-01',     --@Settlement
      '2014-12-15',     --@Maturity
      '2014-03-15',     --@Last_interest
      0.0225,           --@Rate
      0.0010,           --@Yield
      100,              --@Redemption
      2,                --@Frequency
      1                 --@Basis
      ) as Price
This produces the following result.
                 Price
----------------------
      100.445096089033


This is a bond with an odd short last coupon with a settlement date prior to the last coupon date.
SELECT
   wct.ODDLPRICE(
      '2014-10-01',     --@Settlement
      '2034-12-15',     --@Maturity
      '2034-09-15',     --@Last_interest
      0.0425,           --@Rate
      0.0400,           --@Yield
      100,              --@Redemption
      2,                --@Frequency
      1                 --@Basis
      ) as Price
This produces the following result.
                 Price
----------------------
      103.443237928673


This is a bond with an odd long last coupon period with a settlement date prior to the last coupon date.
SELECT
   wct.ODDLPRICE(
      '2014-10-01',     --@Settlement
      '2034-12-15',     --@Maturity
      '2034-03-15',     --@Last_interest
      0.0425,           --@Rate
      0.0400,           --@Yield
      100,              --@Redemption
      2,                --@Frequency
      1                 --@Basis
      ) as Price
This produces the following result.
                 Price
----------------------
        103.4336871715


This is an example of a bond paying interest every 26 weeks.
SELECT
   wct.ODDLPRICE(
      '2014-10-04',     --@Settlement
      '2014-12-15',     --@Maturity
      '2014-06-01',     --@Last_interest
      0.1250,           --@Rate
      0.1100,           --@Yield
      100,              --@Redemption
      182,              --@Frequency
      9                 --@Basis
      ) as Price
This produces the following result.
                 Price
----------------------
      100.198974906573

 

See Also

 



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