ODDFPRICE

Updated 2024-02-27 16:40:24.540000

Syntax

SELECT [westclintech].[wct].[ODDFPRICE](
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Issue, datetime,>
 ,<@First_coupon, datetime,>
 ,<@Rate, float,>
 ,<@Yld, float,>
 ,<@Redemption, float,>
 ,<@Frequency, float,>
 ,<@Basis, nvarchar(4000),>)

Description

Use the scalar function 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:

\text{ODDFPRICE}=\frac{C*\frac{DFC}{E}+\left(\frac{\frac{-C}{Y}+RV}{\left(1+Y\right)^N}-\frac{-C}{Y}\right)}{\left(1+Y\right)^{\frac{DSC}{E}}}-A

WhereA = C * accrued days / EC = 100 * coupon rate / frequencyDFC = the number of days from the issue date to the first coupon dateDSC = number of days from settlement to couponE = the number of days in the quasi-coupon periodN = the number of coupons between the first coupon date and the maturity dateRV = redemption valueY = yield / frequency

The ODDFPRICE formula for a bond with an odd long first coupon is:

\text{ODDFPRICE}=\frac{C*\left[\Sigma_{i=1}^{NCF}\frac{DFC_i}{NLF_i}\right]+\left(\frac{\frac{-C}{Y}+RV}{\left(1+Y\right)^N}-\frac{-C}{Y}\right)}{\left(1+Y\right)^{Nqf+\frac{DSC}{E}}}-C*\left[\sum_{i=1}^{NCF}\frac{A_i}{NLF_i}\right]

WhereAi = number of accrued days for the ith quasi-coupon periodC = 100 * coupon rate / frequencyDFCi = number of days from the issue date to the first quasi-coupon date (i=1) or the number of days in the quasi-coupon period (i>1).DSC = number of days from settlement date to the next quasi-coupon date or first coupon date.E = number of days in the quasi-coupon period in which settlement occursN = the number of coupons between the first coupon date and the maturity dateNCF = number of quasi-coupon periods that fit in the odd periodNLFi = normal length in days of the full ith quasi-coupon period within the odd period.Nqf = the number of whole quasi-coupon periods between the settlement date and the first coupon.RV = redemption valueY = yield / frequency

Arguments

@Yld

the security’s annual yield. @Yld 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 semi-annual, @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.

{"columns":[{"field":"@Basis","width":313},{"field":"Day count basis","width":277}],"rows":[{"@Basis":"0 , 'BOND'","Day count basis":"US (NASD) 30/360"},{"@Basis":"1 , 'ACTUAL'","Day count basis":"Actual/Actual"},{"@Basis":"2 , 'A360'","Day count basis":"Actual/360"},{"@Basis":"3 , 'A365'","Day count basis":"Actual/365"},{"@Basis":"4 , '30E/360 (ISDA)' , '30E/360' , 'ISDA' , '30E/360 ISDA' , 'EBOND'","Day count basis":"European 30/360"},{"@Basis":"5 , '30/360' , '30/360 ISDA' , 'GERMAN'","Day count basis":"30/360 ISDA"},{"@Basis":"6 , 'NL/ACT'","Day count basis":"No Leap Year/ACT"},{"@Basis":"7 , 'NL/365'","Day count basis":"No Leap Year /365"},{"@Basis":"8 , 'NL/360'","Day count basis":"No Leap Year /360"},{"@Basis":"9 , 'A/364'","Day count basis":"Actual/364"},{"@Basis":"10 , 'BOND NON-EOM'","Day count basis":"US (NASD) 30/360 non-end-of-month"},{"@Basis":"11 , 'ACTUAL NON-EOM'","Day count basis":"Actual/Actual non-end-of-month"},{"@Basis":"12 , 'A360 NON-EOM'","Day count basis":"Actual/360 non-end-of-month"},{"@Basis":"13 , 'A365 NON-EOM'","Day count basis":"Actual/365 non-end-of-month"},{"@Basis":"14 , '30E/360 NON-EOM' , '30E/360 ICMA NON-EOM' , 'EBOND NON-EOM'","Day count basis":"European 30/360 non-end-of-month"},{"@Basis":"15 , '30/360 NON-EOM' , '30/360 ISDA NON-EOM' , 'GERMAN NON-EOM'","Day count basis":"30/360 ISDA non-end-of-month"},{"@Basis":"16 , 'NL/ACT NON-EOM'","Day count basis":"No Leap Year/ACT non-end-of-month"},{"@Basis":"17 , 'NL/365 NON-EOM'","Day count basis":"No Leap Year/365 non-end-of-month"},{"@Basis":"18 , 'NL/360 NON-EOM'","Day count basis":"No Leap Year/360 non-end-of-month"},{"@Basis":"19 , 'A/364 NON-EOM'","Day count basis":"Actual/364 non-end-of-month"}]}

@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.

@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.

@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.

@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.

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 ODDFPRICE returns an error.

If @Basis is invalid (see above list), ODDFPRICE returns an error.

If @Settlement >= @First_coupon then ODDFPRICE calls the PRICE function.

If @Maturity is NULL then an error is returned.

If @Issue is NULL then an error is returned.

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(   '2014-05-01', --@Settlement

                        '2034-06-15', --@Maturity

                        '2014-05-01', --@Issue

                        '2014-06-15', --@FirstCoupon

                        0.025,        --@Rate

                        0.0276,       --@Yield

                        100,          --@Redemption

                        2,            --@Frequency

                        1             --@Basis

                    ) as ODDFPRICE;