PRICEDISC
Updated: 23 May 2016
Use PRICEDISC to calculate the price per 100 face value for a discounted security. The PRICEDISC formula is:
Where:
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B
|
=
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Number of days in the year
|
|
DR
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=
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Discount Rate
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DSM
|
=
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Number of days from settlement date to maturity date
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|
P
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=
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Price per 100 par value
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|
RV
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=
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Redemption Value
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Syntax
SELECT [westclintech].[wct].[PRICEDISC] (
<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Discount, float,>
,<@Redemption, 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.
@Discount
the security’s discount rate. @Discount 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.
@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
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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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21, 'Actual/ISDA'
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Actual/ISDA
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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 PRICEDISC returns an error
Examples
This is a security maturing on 2014-12-15 with a 100 redemption value and a discount rate of 1.5%. The discount rate is quoted using the Actual/365 day-count convention.
SELECT
wct.PRICEDISC(
'2014-10-07' --@Settlement
,'2014-12-15' --@Maturity
,0.015 --@Discount
,100 --@Redemption
,3 --@Basis
) as Price
This produces the following result.
This is a security maturing on 2015-02-15 with a 10000 redemption value and a discount rate of 1.9%. The discount rate is quoted using the Actual/360 day-count convention.
SELECT
wct.PRICEDISC(
'2014-10-07' --@Settlement
,'2015-02-15' --@Maturity
,0.019 --@Discount
,10000 --@Redemption
,2 --@Basis
) as Price
This produces the following result.
This is a security maturing on 2015-04-15 with a 1,000,000 redemption value and a discount rate of 5.5%. The discount rate is quoted using the Actual/364 day-count convention.
SELECT
wct.PRICEDISC(
'2014-10-07' --@Settlement
,'2015-04-15' --@Maturity
,0.055 --@Discount
,1000000 --@Redemption
,9 --@Basis
) as Price
This produces the following result.
See Also