RPIFACTORS
Updated: 31 May 2014
Use the table-valued function RPIFACTORS to return the components used in the calculation of price and yield for a bond with regular periodic coupons.
Syntax
SELECT * FROM [wctFinancial].[wct].[RPIFACTORS](
<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Rate, float,>
,<@Price, float,>
,<@Yield, 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.
@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.
@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 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
RETURNS TABLE (
[PrevCoup] [datetime] NULL,
[NextCoup] [datetime] NULL,
[A] [float] NULL,
[DSC] [float] NULL,
[E] [float] NULL,
[N] [int] NULL,
[C] [float] NULL,
[P] [float] NULL,
[AI] [float] NULL,
[Y] [float] NULL
)
|
Column
|
Description
|
|
PrevCoup
|
Greatest coupon date less than or equal to the settlement date.
|
|
NextCoup
|
Least coupon date greater than the settlement date.
|
|
A
|
Number of accrued days from the previous coupon date to the settlement date.
|
|
DSC
|
Number of days from the settlement date to the next coupon date.
|
|
E
|
Number of days in the coupon period.
|
|
N
|
Number of coupons from the settlement date to the maturity date
|
|
C
|
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 RPIFACTORS returns an error.
· If @Basis invalid (see above list), RPIFACTORS returns an error.
· If @Maturity is NULL then an error is returned.
· DSC = E - A.
Examples
In this example we calculate the factors for a bond maturing on 2034-06-15. The settlement date is 2014-05-01, the yield is 2.76%, the coupon rate is 2.50%, the redemption value is 100, the coupon is paid twice-yearly, and the basis code is 1.
SELECT
*
FROM
wct.RPIFACTORS(
'2014-05-01', --@Settlement
'2034-06-15', --@Maturity
0.025, --@Rate
NULL, --@Price
0.0276, --@Yield
100, --@Redemption
2, --@Frequency
1 --@Basis
)
This produces the following result (which has been reformatted for ease of viewing).
|
PrevCoup
|
NextCoup
|
A
|
DSC
|
E
|
N
|
C
|
P
|
AI
|
Y
|
|
12/15/2013
|
6/15/2014
|
137
|
45
|
182
|
41
|
1.25
|
96.00437991
|
0.940934066
|
0.0276
|
In this example, we calculate the factors for a zero-coupon bond.
SELECT
*
FROM
wct.RPIFACTORS(
'2014-05-01', --@Settlement
'2044-06-15', --@Maturity
0.00, --@Rate
NULL, --@Price
0.0301, --@Yield
100, --@Redemption
2, --@Frequency
1 --@Basis
)
This produces the following result.
|
PrevCoup
|
NextCoup
|
A
|
DSC
|
E
|
N
|
C
|
P
|
AI
|
Y
|
|
12/15/2013
|
6/15/2014
|
137
|
45
|
182
|
61
|
0
|
40.65835761
|
0
|
0.0301
|
In this example we calculate the factors for a bond settling in the final coupon period.
SELECT
*
FROM
wct.RPIFACTORS(
'2014-05-01', --@Settlement
'2014-07-15', --@Maturity
0.0190, --@Rate
NULL, --@Price
0.0005, --@Yield
100, --@Redemption
2, --@Frequency
0 --@Basis
)
This produces the following result.
|
PrevCoup
|
NextCoup
|
A
|
DSC
|
E
|
N
|
C
|
P
|
AI
|
Y
|
|
1/15/2014
|
7/15/2014
|
106
|
74
|
180
|
1
|
0.95
|
100.3801812
|
0.559444444
|
0.0005
|
Here we calculate the factors for a bond maturing on the 30th of September 2034, with semi-annual coupons payable on March 30th and September 30th.
SELECT
*
FROM
wct.RPIFACTORS(
'2014-05-01', --@Settlement
'2034-09-30', --@Maturity
0.0257, --@Rate
98.123291, --@Price
NULL, --@Yield
100, --@Redemption
2, --@Frequency
11 --@Basis
)
This produces the following result.
|
PrevCoup
|
NextCoup
|
A
|
DSC
|
E
|
N
|
C
|
P
|
AI
|
Y
|
|
3/30/2014
|
9/30/2014
|
32
|
152
|
184
|
41
|
1.29
|
98.123291
|
0.223478261
|
0.0269
|
Here's an example with a negative yield.
SELECT
*
FROM
wct.RPIFACTORS(
'2014-05-01', --@Settlement
'2014-09-30', --@Maturity
0.0257, --@Rate
101, --@Price
NULL, --@Yield
98, --@Redemption
2, --@Frequency
0 --@Basis
)
This produces the following result.
|
PrevCoup
|
NextCoup
|
A
|
DSC
|
E
|
N
|
C
|
P
|
AI
|
Y
|
|
3/31/2014
|
9/30/2014
|
31
|
149
|
180
|
1
|
1.29
|
101
|
0.221305556
|
-0.046219
|
This is an example of a bond paying interest every 26 weeks.
SELECT
*
FROM
wct.RPIFACTORS(
'2014-10-01', --@Settlement
'2023-03-13', --@Maturity
0.1250, --@Rate
NULL, --@Price
0.1100, --@Yield
100, --@Redemption
182, --@Frequency
9 --@Basis
)
|
PrevCoup
|
NextCoup
|
A
|
DSC
|
E
|
N
|
C
|
P
|
AI
|
Y
|
|
2014-09-22
|
2015-03-23
|
9
|
173
|
182
|
17
|
6.25
|
108.1261
|
0.309066
|
0.11
|
See Also