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:
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 quasicoupons from the last coupon date to the quasimaturity date

DLC_{i}

=

the number of days from the previous coupon date to the lesser of the next coupon date and the maturity date in the i^{th} quasicoupon period

NLL_{i}

=

the normal length in days of the full i^{th} quasicoupon 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 quasicoupons from the last coupon date to the quasimaturity date

DSC_{i}

=

number of days from settlement date (or beginning of quasicoupon period) to the next quasicoupon within odd period (or to redemption date) for the i^{th} quasicoupon period

A_{i}

=

number of accrued days for the i^{th} quasicoupon period within odd period counting forward from the last interest date before redemption

DLC_{i}

=

the number of days from the previous coupon date to the lesser of the next coupon date and the maturity date in the i^{th} quasicoupon period

NLL_{i}

=

the normal length in days of the full i^{th} quasicoupon 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 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 ODDLPRICE returns an error.
Â· If @Basis is invalid (see above list), ODDLPRICE returns an error.
Â· If @Maturity is NULL then an error is returned.
Â· 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(
'20141001', @Settlement
'20141215', @Maturity
'20140915', @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(
'20141001', @Settlement
'20141215', @Maturity
'20140315', @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(
'20141001', @Settlement
'20341215', @Maturity
'20340915', @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(
'20141001', @Settlement
'20341215', @Maturity
'20340315', @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(
'20141004', @Settlement
'20141215', @Maturity
'20140601', @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