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:
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 quasicoupon 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
A_{i} = number of accrued days for the i^{th} quasicoupon period
C = 100 * coupon rate / frequency
DFC_{i} = number of days from the issue date to the first quasicoupon date (i=1) or the number of days in the quasicoupon period (i>1).
DSC = number of days from settlement date to the next quasicoupon date or first coupon date.
E = number of days in the quasicoupon period in which settlement occurs
N = the number of coupons between the first coupon date and the maturity date
NCF = number of quasicoupon periods that fit in the odd period
NLF_{i} = normal length in days of the full i^{th} quasicoupon period within the odd period.
Nqf = the number of whole quasicoupon 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 securityâ€™s annual coupon rate. @Rate is an expression of type float or of a type that can be implicitly converted to float.
@Yld
the securityâ€™s annual yield. @Yld is an expression of type float or of a type that can be implicitly converted to float.
@Redemption
the securityâ€™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 semiannual, @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 NONEOM'

US (NASD) 30/360 nonendofmonth

11, 'ACTUAL NONEOM'

Actual/Actual nonendofmonth

12, 'A360 NONEOM'

Actual/360 nonendofmonth

13, 'A365 NONEOM'

Actual/365 nonendofmonth

14, '30E/360 NONEOM', '30E/360 ICMA NONEOM', 'EBOND NONEOM'

European 30/360 nonendofmonth

15, '30/360 NONEOM', '30/360 ISDA NONEOM', 'GERMAN NONEOM'

30/360 ISDA nonendofmonth

16, 'NL/ACT NONEOM'

No Leap Year/ACT nonendofmonth

17, 'NL/365 NONEOM'

No Leap Year/365 nonendofmonth

18, 'NL/360 NONEOM'

No Leap Year/360 nonendofmonth

19, 'A/364 NONEOM'

Actual/364 nonendofmonth

Return Type
float
Remarks
Â· If @Settlement is NULL then @Settlement = GETDATE().
Â· If @Rate is NULL then @Rate = 0.
Â· If @Yield is NULL then @Yield = 0.
Â· If @Redemption is NULL then @Redemption = 100.
Â· If @Frequency is NULL then @Frequency = 2.
Â· If @Basis is NULL then @Basis = 0.
Â· 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.
Â· If @Basis is invalid (see above list), ODDFPRICE returns an error.
Â· If @Settlement >= @First_coupon then ODDFPRICE calls the PRICE function.
Â· If @Maturity is NULL then an error is returned.
Â· If @Issue is NULL then an error is returned.
Â· 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(
'20140501', @Settlement
'20340615', @Maturity
'20140501', @Issue
'20140615', @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(
'20140501', @Settlement
'20340615', @Maturity
'20140501', @Issue
'20141215', @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 semiannual coupons payable on March 30^{th} and September 30^{th}.
SELECT
wct.ODDFPRICE(
'20140315', @Settlement
'20340930', @Maturity
'20140301', @Issue
'20140330', @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(
'20140315', @Settlement
'20240930', @Maturity
'20140301', @Issue
'20140330', @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(
'20141004', @Settlement
'20291212', @Maturity
'20140326', @Issue
'20141231', @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