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
|
=
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Number of days from issue date to settlement date
|
|
B
|
=
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Number of days in the year
|
|
DIM
|
=
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Number of days from issue date to maturity date
|
|
DSM
|
=
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Number of days from settlement date to maturity date
|
|
P
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=
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Price per 100 par value
|
|
R
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=
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Annual interest rate in decimal terms
|
|
Y
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=
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Annual Yield
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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.
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@Basis
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Day count basis
|
|
0, 'BOND'
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US (NASD) 30/360
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1, 'ACTUAL'
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Actual/Actual
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2, 'A360'
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Actual/360
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3, 'A365'
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Actual/365
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4, '30E/360 (ISDA)', '30E/360', 'ISDA', '30E/360 ISDA', 'EBOND'
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European 30/360
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5, '30/360', '30/360 ISDA', 'GERMAN'
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30/360 ISDA
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7, 'NL/365'
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No Leap Year /365
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8, 'NL/360'
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No Leap Year /360
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9, 'A/364'
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Actual/364
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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