Login     Register

        Contact Us     Search

XLeratorDB/financial Documentation

SQL Server disambiguation function for odd- first and last coupon bonds


OFLFACTORS

Updated: 30 June 2014


Use the table-valued function OFLFACTORS to return the components used in the calculation of price and yield for a bond with an odd first and odd last coupon. OFLFACTORS supports odd first and odd last coupon bonds with up to 2 quasi-coupon periods each.
Syntax
SELECT * FROM [wctFinancial].[wct].[OFLFACTORS](
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Issue, datetime,>
 ,<@FirstCoupon, datetime,>
 ,<@LastCoupon, datetime,>
 ,<@Rate, float,>
 ,<@Price, float,>
 ,<@Yield, float,>
 ,<@Redemption, float,>
 ,<@Frequency, float,>
 ,<@Basis, nvarchar(4000),>)
Arguments
@Settlement
the settlement date of the bond. @Settlement is an expression that returns a datetime or smalldatetime value, or a character string in date format. 
@Maturity
the maturity date of the bond. @Maturity is an expression that returns a datetime or smalldatetime value, or a character string in date format. 
@Issue
the issue date of the bond; the date from which the bond starts accruing interest. @Issue is an expression that returns a datetime or smalldatetime value, or a character string in date format. 
@FirstCoupon
the first coupon date of the bond. 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. @FirstCoupon is an expression that returns a datetime or smalldatetime value, or a character string in date format. 
@LastCoupon
the last coupon date of the bond prior to the maturity. The period from the last interest date until the maturity date defines the odd interest period. All coupon dates from @FirstCoupon to @LastCoupon are assumed to occur at regular periodic intervals as defined by @Frequency. @LastCoupon is an expression that returns a datetime or smalldatetime value, or a character string in date format.
@Rate
the bond’s annual coupon rate. @Rate is an expression of type float or of a type that can be implicitly converted to float.
@Price
the price of the bond. @Price is an expression of type float or of a type that can be implicitly converted to float.
@Yield
the bond’s annual yield. @Yld is an expression of type float or of a type that can be implicitly converted to float.
@Redemption
the bond’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
RETURNS TABLE (
      [A1] [float] NULL,
      [A2] [float] NULL,
      [DSC] [float] NULL,
      [E] [float] NULL,
      [N] [int] NULL,
      [NCL] [int] NULL,
      [NCF] [int] NULL,
      [DLC1] [float] NULL,
      [DLC2] [float] NULL,
      [NLL1] [float] NULL,
      [NLL2] [float] NULL,
      [DFC1] [float] NULL,
      [DFC2] [float] NULL,
      [NLF1] [float] NULL,
      [NLF2] [float] NULL,
      [Nqf] [float] NULL,
      [quasistart] [datetime] NULL,
      [quasicoupfirst] [datetime] NULL,
      [quasicouplast] [datetime] NULL,
      [quasimaturity] [datetime] NULL,
      [C] [float] NULL,
      [LC] [float] NULL,
      [FC] [float] NULL,
      [P] [float] NULL,
      [AI] [float] NULL,
      [Y] [float] NULL
)

Column
Description
A1
If NCF = 1, the number of days from @Issue to the @Settlement. If NCF = 2 and @Settlement >= quasicoupfirst then DFC1 else the number of days from quasicoupfirst to @Settlement.
A2
If NCF = 1 then NULL. If NCF = 2 and @Settlement >= quasicoupfirst then the number of days from quasicoupfirst to @Settlement else 0.
DSC
Number of days from the @Settlement to the next quasi-coupon date.
E
Number of coupon days in the quasi-coupon period in which the settlement date falls.
N
Number of coupons between @FirstCoupon and @LastCoupon.
NCL
Number of quasi-coupon periods in the odd last period (1 or 2).
NCF
Number of quasi-coupon periods in the odd first period (1 or 2).
DLC1
If NCL = 1, the number of days from @LastCoupon to @Maturity else NLL1
DLC2
If NCL =2 then NULL else the number of days from quasicouplast to @Maturity.
NLL1
The normal length of the first quasi-coupon period in the last coupon period. If NCL = 1 the length of the period from @LastCoupon to quasimaturity else the length of the period from @LastCoupon to quasimaturity.
NLL2
If NCL = 1 then NULL else the normal length of the period from quasicouplast to quasimaturity.
DFC1
The normal length of the first quasi-coupon period minus the number of days from quasistart to @Issue.
DFC2
If NCF = 2 then NULL else NLF2
NLF1
The normal length of the first quasi-coupon period in the odd first period. If NCF = 1 then number of days from quasistart to @FirstCoupon else the number of days from quasistart to quasicoupfirst.
NLF2
The normal length for the second quasi-coupon period in the odd first period. If NCF = 1 then NULL else the number of days from quasicoupfirst to @FirstCoupon.
Nqf
Number of whole coupons between @Settlement and @FirstCoupon.
quasistart
Implied previous coupon date with respect to @Issue.
quasicoupfirst
If NCF = 1 then NULL else the implied next coupon date with respect to @Issue.
quasicouplast
If NCL = 1 then NULL else the implied next coupon date with respect to @LastCoupon.
quasimaturity
The implied next coupon date with respect to @Maturity.
C
Coupon amount
LC
Last coupon amount
FC
First coupon amount
P
Price. If @Yield is NOT NULL then P is calculated from the inputs otherwise P is the value entered in @Price.
AI
Accrued interest as of the settlement date.
Y
Yield. If @Yield is NOT NULL then Y is the value entered in @Yield otherwise Y is calculated from the inputs.

 
Remarks
·         If @Settlement is NULL then @Settlement = GETDATE().
·         If @Rate is NULL then @Rate = 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 OFLFACTORS returns an error.
·         If @Basis is invalid (see above list), OFLFACTORS returns an error.
·         If @Maturity is NULL then an error is returned.
·         If @Issue is NULL then an error is returned.
·         If @FirstCoupon is NULL then an error is returned.
·         If @LastCoupon is NULL then an error is returned.
·         If @Settlement >= @FirstCoupon then nothing is returned.
·         The first quasi-coupon period in the odd first period is always the quasi-coupon period in which @Issue occurs.
·         The first quasi-coupon in the odd last period is always the quasi-coupon period in which @LastCoupon occurs.
·         The previous coupon date for the first quasi-coupon period is calculated using @Frequency, @Basis, and @LastCoupon. This is the value returned in quasistart.
·         If there is only one quasi-coupon in the odd first period then quasicoupfirst is NULL. Otherwise the previous coupon date for the second quasi-coupon period is calculated using @Frequency, @Basis, and @LastCoupon.
·         If there is only on quasi-coupon period in the odd last period the quasicouplast is NULL.
Examples
This is a bond with an odd short first coupon and an odd short last coupon.
SELECT
   *
FROM
   wct.OFLFACTORS(
       '2013-03-04'     --@Settlement
      ,'2022-04-28'     --@Maturity
      ,'2012-12-07'     --@Issue
      ,'2013-03-15'     --@FirstCoupon
      ,'2022-03-15'     --@LastCoupon
      ,.03125           --@Rate
      ,NULL             --@Price
      ,.02875           --@Yield
      ,100              --@Redemption
      ,2                --@Frequency
      ,1                --@Basis
      )
This produces the following result (which has been reformatted for ease of viewing).

A1
A2
DSC
E
N
NCL
NCF
DLC1
DLC2
NLL1
NLL2
87
NULL
11
181
18
1
1
44
NULL
184
NULL

 

DFC1
DFC2
NLF1
NLF2
Nqf
quasistart
quasicoupfirst
quasicouplast
quasimaturity
98
NULL
NULL
NULL
0
9/15/2012
NULL
NULL
9/15/2022

 

C
LC
FC
P
AI
Y
1.5625
0.373641304
0.845994475
102.0003622
0.751035912
0.02875

 
This is a bond with an odd long first coupon and an odd long last coupon.
SELECT
   *
FROM
   wct.OFLFACTORS(
       '2013-03-04'     --@Settlement
      ,'2022-11-28'     --@Maturity
      ,'2012-06-07'     --@Issue
      ,'2013-03-15'     --@FirstCoupon
      ,'2022-03-15'     --@LastCoupon
      ,.03125           --@Rate
      ,NULL             --@Price
      ,.02875           --@Yield
      ,100              --@Redemption
      ,2                --@Frequency
      ,1                --@Basis
      )
This produces the following result (which has been reformatted for ease of viewing).

A1
A2
DSC
E
N
NCL
NCF
DLC1
DLC2
NLL1
NLL2
100
170
11
181
18
2
2
184
74
184
181

 

DFC1
DFC2
NLF1
NLF2
Nqf
quasistart
quasicoupfirst
quasicouplast
quasimaturity
100
181
184
181
0
3/15/2012
9/15/2012
9/15/2022
3/15/2023

 

C
LC
FC
P
AI
Y
1.5625
2.201312155
2.411684783
102.1034334
2.316726219
0.02875



This is a bond with an odd long first coupon and an odd short last coupon.
SELECT
   *
FROM
   wct.OFLFACTORS(
       '2013-03-04'     --@Settlement
      ,'2022-04-28'     --@Maturity
      ,'2012-06-07'     --@Issue
      ,'2013-03-15'     --@FirstCoupon
      ,'2022-03-15'     --@LastCoupon
      ,.03125           --@Rate
      ,101.999004756314 --@Price
      ,NULL             --@Yield
      ,100              --@Redemption
      ,2                --@Frequency
      ,1                --@Basis
      )
 
This produces the following result.

A1
A2
DSC
E
N
NCL
NCF
DLC1
DLC2
NLL1
NLL2
100
170
11
181
18
1
2
44
NULL
184
NULL

 

DFC1
DFC2
NLF1
NLF2
Nqf
quasistart
quasicoupfirst
quasicouplast
quasimaturity
100
181
184
181
0
3/15/2012
9/15/2012
NULL
9/15/2022

 

C
LC
FC
P
AI
Y
1.5625
0.373641304
2.411684783
101.9990048
2.316726219
0.02875



This is a bond with an odd short first coupon and an odd long last coupon.
SELECT
   *
FROM
   wct.OFLFACTORS(
       '2013-03-04'     --@Settlement
      ,'2022-11-28'     --@Maturity
      ,'2012-12-07'     --@Issue
      ,'2013-03-15'     --@FirstCoupon
      ,'2022-03-15'     --@LastCoupon
      ,.03125           --@Rate
      ,102.104790915433 --@Price
      ,NULL             --@Yield
      ,100              --@Redemption
      ,2                --@Frequency
      ,1                --@Basis
      ) 
This produces the following result.

A1
A2
DSC
E
N
NCL
NCF
DLC1
DLC2
NLL1
NLL2
87
NULL
11
181
18
2
1
184
74
184
181

 

DFC1
DFC2
NLF1
NLF2
Nqf
quasistart
quasicoupfirst
quasicouplast
quasimaturity
98
NULL
NULL
NULL
0
9/15/2012
NULL
9/15/2022
3/15/2023

 

C
LC
FC
P
AI
Y
1.5625
2.201312155
0.845994475
102.1047909
0.751035912
0.02875



This is an example of a bond paying interest every 26 weeks.
SELECT
   *
FROM
   wct.OFLFACTORS(
       '2014-10-04'     --@Settlement
      ,'2029-12-12'     --@Maturity
      ,'2014-07-30'     --@Issue
      ,'2015-03-18'     --@First_coupon
      ,'2029-02-28'     --@Last_coupon
      ,.1250            --@Rate
      ,NULL             --@Price
      ,.1100            --@Yld
      ,100              --@Redemption
      ,182              --@Frequency
      ,9                --@Basis
   )
This produces the following result.

A1
A2
DSC
E
N
NCL
NCF
DLC1
DLC2
NLL1
NLL2
49
17
165
182
28
2
2
182
105
182
182

 

DFC1
DFC2
NLF1
NLF2
Nqf
quasistart
quasicoupfirst
quasicouplast
quasimaturity
49
182
182
182
0
2014-03-19
2014-09-17
2029-08-29
2030-02-27

 

C
LC
FC
P
AI
Y
6.25
9.855769231
7.932692308
110.8460988
2.266483516
0.11

 

See Also

 



Copyright 2008-2017 Westclintech LLC         Privacy Policy        Terms of Service