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XLeratorDB/financial Documentation

SQL Server PRICEMAT Function


PRICEMAT

Updated: 10 October 2014


Use the scalar function PRICEMAT to calculate the price (expressed per 100 par value) of a security that pays interest at maturity. The PRICEMAT formula is:

Where:

A
=
Number of days from issue date to settlement date
B
=
Number of days in the year
DIM
=
Number of days from issue date to maturity date
DSM
=
Number of days from settlement date to maturity date
P
=
Price per 100 par value
R
=
Annual interest rate in decimal terms
Y
=
Annual Yield

Syntax
SELECT [westclintech].[wct].[PRICEMAT] (
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Issue, datetime,>
 ,<@Rate, float,>
 ,<@Yld, 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. @Issue 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.
@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
Return Type
float
Remarks
·         If @Settlement IS NULL then @Settlement = GETDATE()
·         If @Basis is NULL then @Basis = 0
·         If @Basis is invalid then PRICEMAT returns an error
Example
This security issued on 2014-07-31 matures on 2014-12-15 with an interest rate of 0.5% and a yield of 0.2%. Interest is calculated using the Actual/365 day-count convention.
SELECT
   wct.PRICEMAT(
    '2014-10-07'  --@Settlement
   ,'2014-12-15'  --@Maturity
   ,'2014-07-31'  --@Issue   
   ,0.005         --@Rate
   ,0.002         --@Yield
   ,3             --@Basis
   ) as Price
This produces the following result.
                 Price
----------------------
      100.056655689645


This security issued on 2014-08-15 matures on 2014-12-01 with an interest rate of -0.05% and a yield of 0.1%. Interest is calculated using the Actual/360 day-count convention.
SELECT
   wct.PRICEMAT(
    '2014-10-07'  --@Settlement
   ,'2014-12-01'  --@Maturity
   ,'2014-08-15'  --@Issue   
   ,-0.0005       --@Rate
   ,0.001         --@Yield
   ,2             --@Basis
   ) as Price
This produces the following result.
                 Price
----------------------
      99.9770879583983


This security issued on 2014-08-10 matures on 2014-11-15 with a yield of -0.05% and an interest rate of 0.2%. Interest is calculated using the 30/E 360 (ISDA) day-count convention.
SELECT
   wct.PRICEMAT(
    '2014-10-07'  --@Settlement
   ,'2014-11-15'  --@Maturity
   ,'2014-08-10'  --@Issue   
   ,0.002         --@Rate
   ,-0.0005       --@Yield
   ,4             --@Basis
   ) as Price
This produces the following result.
                 Price
----------------------
      100.026391953094


This security issued on 2014-07-01 matures on 2014-12-29 with an interest rate of 7.0% and a yield of 8.5%. Interest is calculated using the Actual/364 day-count convention.
SELECT
   wct.PRICEMAT(
    '2014-10-07' --@Settlement
   ,'2014-12-29' --@Maturity
   ,'2014-07-01' --@Issue   
   ,0.07          --@Rate
   ,0.085         --@Yield
   ,9             --@Basis
   ) as Price
This produces the following result.
                 Price
----------------------
       99.628637367672

 

See Also

 



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