OFLPRICE
Updated: 30 June 2014
Use OFLPRICE to calculate the price from yield per 100 face value of a bond with an odd first period and an odd last period. The OFLFPRICE 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

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} last quasicoupon period

DSC

=

number of days from settlement to coupon

E

=

the normal length of the first quasicoupon period

N

=

the number of coupons between the first coupon date and the last coupon date

NCL

=

the number of quasicoupons from the last coupon date to the quasimaturity date

NLL_{i}

=

the normal length in days of the full i^{th} quasicoupon period in the odd last period

RV

=

redemption value

Y

=

yield / frequency

The OFLPRICE 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 or the number of days in the quasicoupon period

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} last quasicoupon period

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 first period

NCL

=

the number of quasicoupons from the last coupon date to the quasimaturity date

NLF_{i}

=

normal length in days of the full i^{th} quasicoupon period within the odd period.

NLL_{i}

=

the normal length in days of the full i^{th} quasicoupon period in the odd last 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].[OFLPRICE](
<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Issue, datetime,>
,<@First_coupon, datetime,>
,<@Last_coupon, datetime,>
,<@Rate, float,>
,<@Yld, 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.
@First_coupon
the first coupon date of the bond. The period from the issue date until the first coupon date defines the odd interest period. All coupon dates from @First_coupon to @Last_coupon 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.
@Last_coupon
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 @First_coupon to @Last_coupon are assumed to occur at regular periodic intervals as defined by @Frequency. @Last_coupon 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.
@Yld
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 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
· If @Settlement is NULL then @Settlement = GETDATE().
· If @Rate is NULL then @Rate = 0.
· If @Yield is NULL then @Yield = 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 OFLPRICE returns an error.
· If @Basis is invalid (see above list), OFLPRICE returns an error.
· If @Maturity is NULL then an error is returned.
· If @Last_coupon is NULL then an error is returned.
· If @First_coupon is NULL then an error is returned.
· If @Issue is NULL then an error is returned.
· If @Settlement >= @First_coupon then the price is calculated using ODDLPRICE.
Example
This is a bond with an odd short first coupon and an odd short last coupon.
SELECT
wct.OFLPRICE(
'20130304' @Settlement
,'20220428' @Maturity
,'20121207' @Issue
,'20130315' @First_coupon
,'20220315' @Last_coupon
,.03125 @Rate
,.02875 @Yld
,100 @Redemption
,2 @Frequency
,1 @Basis
) as PRICE
This produces the following result.
PRICE

102.00036224598
This is a bond with an odd long first coupon and an odd long last coupon.
SELECT
wct.OFLPRICE(
'20130304' @Settlement
,'20221128' @Maturity
,'20120607' @Issue
,'20130315' @First_coupon
,'20220315' @Last_coupon
,.03125 @Rate
,.02875 @Yld
,100 @Redemption
,2 @Frequency
,1 @Basis
) as PRICE
This produces the following result.
PRICE

102.103433425767
This is a bond with an odd long first coupon and an odd short last coupon.
SELECT
wct.OFLPRICE(
'20130304' @Settlement
,'20220428' @Maturity
,'20120607' @Issue
,'20130315' @First_coupon
,'20220315' @Last_coupon
,.03125 @Rate
,.02875 @Yld
,100 @Redemption
,2 @Frequency
,1 @Basis
) as PRICE
This produces the following result.
PRICE

101.999004756314
This is a bond with an odd short first coupon and an odd long last coupon.
SELECT
wct.OFLPRICE(
'20130304' @Settlement
,'20221128' @Maturity
,'20121207' @Issue
,'20130315' @First_coupon
,'20220315' @Last_coupon
,.03125 @Rate
,.02875 @Yld
,100 @Redemption
,2 @Frequency
,1 @Basis
) as PRICE
This produces the following result.
PRICE

102.104790915433
This is an example of a bond paying interest every 26 weeks.
SELECT
wct.OFLPRICE(
'20141004' @Settlement
,'20291212' @Maturity
,'20140730' @Issue
,'20150318' @First_coupon
,'20290228' @Last_coupon
,.1250 @Rate
,.1100 @Yld
,100 @Redemption
,182 @Frequency
,9 @Basis
) as PRICE
This produces the following result.
PRICE

110.846098828263
See Also