PRICEMAT

Updated 2023-10-06 21:15:29.277000

Syntax

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

Description

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:

{"columns":[{"field":"column 1","width":180},{"field":"column 2","width":30},{"field":"column 3","width":180}],"rows":[{"column 1":"A","column 2":"=","column 3":"Number of days from issue date to settlement date"},{"column 1":"B","column 2":"=","column 3":"Number of days in the year"},{"column 1":"DIM","column 2":"=","column 3":"Number of days from issue date to maturity date"},{"column 1":"DSM","column 2":"=","column 3":"Number of days from settlement date to maturity date"},{"column 1":"P","column 2":"=","column 3":"Price per 100 par value"},{"column 1":"R","column 2":"=","column 3":"Annual interest rate in decimal terms"},{"column 1":"Y","column 2":"=","column 3":"Annual Yield"}]}

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.

@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":"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"}]}

@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. @Issue 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.

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.

Examples

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.

{"columns":[{"field":"Price","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"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.

{"columns":[{"field":"Price","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"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.

{"columns":[{"field":"Price","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"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.

{"columns":[{"field":"Price","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"Price":"99.628637367672"}]}

PRICEMAT

Syntax

Description

Arguments

@Yld

@Basis

@Rate

@Issue

@Settlement

@Maturity

Return Type

Remarks

Examples

See Also