ODDLPRICE

Updated 2024-02-28 16:50:45.017000

Syntax

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

Description

Use the scalar function 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:

ODDLPRICE=\left(\frac{\frac{-C}{Y}+\frac{RV+LC}{\left(1+Y\right)^{\Sigma_{i=1}^{NCL}\frac{DLC_i}{NLL_i}}}}{\left(1+Y\right)^N}-\frac{-C}{Y}\right)\times\left(1+Y\right)^{1-\frac{DSC}{E}}-A

Where

C = 100 * coupon rate / frequencyY = yield / frequencyRV = redemption valueDSC = number of days from settlement to couponN = the number of coupons between the settlement date and the last coupon dateE = the number of days in the current coupon periodA = C * accrued days / ENCL = the number of quasi-coupons from the last coupon date to the quasi-maturity dateDLCi = the number of days from the previous coupon date to the lesser of the next coupon date and the maturity date in thethiquasi-coupon periodNLLi = the normal length in days of the full ith quasi-coupon period in the odd last periodLC = the coupon amount for the last coupon period

The formula for price when the settlement date is greater than or equal to the last coupon date is:

ODDLPRICE=\frac{RV+LC}{\left(1+Y\times{\Sigma_{i=1}^{NCL}\frac{DLC_i}{NLL_i}}\right)}-C*\sum_{i=1}^{NCL}\frac{A_i}{NLL_i}

WhereC = 100 * coupon rate / frequencyY = yield / frequencyRV = redemption valueNCL = the number of quasi-coupons from the last coupon date to the quasi-maturity dateDLCi = the number of days from the previous coupon date to the lesser of the next coupon date and the maturity date in the ith quasi-coupon periodNLLi = the normal length in days of the full ith quasi-coupon period in the odd last periodLC = the coupon amount for the last coupon period

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.

@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.

@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.

@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 then ODDLPRICE returns an error.

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

If @Maturity is NULL then an error is returned.

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(   '2014-10-01', --@Settlement

                        '2014-12-15', --@Maturity

                        '2014-09-15', --@Last_interest

                        0.0225,       --@Rate

                        0.0010,       --@Yield

                        100,          --@Redemption

                        2,            --@Frequency

                        1             --@Basis

                    ) as Price;