PRICESTEP
Updated 2023-10-05 14:27:38.043000
Syntax
SELECT [westclintech].[wct].[PRICESTEP](
<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Yld, float,>
,<@Redemption, float,>
,<@Frequency, float,>
,<@Basis, nvarchar(4000),>
,<@Coupons, nvarchar(max),>)
Description
Use the scalar function PRICESTEP to calculate the price from yield per 100 face value of a security with multiple interest coupon rates, also known as step-up rates.
Arguments
@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.
@Coupons
a SELECT statement, as a string, which identifies the coupon dates and rates to be used in the price calculation. The coupon rate is assumed to be in effect from the associated coupon date to the next greater coupon date returned by the select statement. The last rate is assumed to be in effect from the last date until the maturity date of the security.
@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. @Frequency is an expression of type float or of a type that can be implicitly converted to float.
@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.
@Basis
is the type of day count to use. @Basis is an expression of the character string data type category.
{"columns":[{"field":"@Basis","width":139},{"field":"Day count basis","width":174}],"rows":[{"@Basis":"0 or omitted","Day count basis":"US (NASD) 30/360"},{"@Basis":"1","Day count basis":"Actual/Actual"},{"@Basis":"2","Day count basis":"Actual/360"},{"@Basis":"3","Day count basis":"Actual/365"},{"@Basis":"4","Day count basis":"European 30/360"}]}
@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.
Return Type
float
Remarks
If @Basis < 0 or if @Basis > 4, then PRICESTEP returns an error.
@Settlement must be <= @Maturity.
If @Settlement is NULL, @Settlement = GETDATE().
If @Frequency is NULL, @Frequency = 2.
If @Basis is NULL, @Basis = 0.
If @Redemption is NULL, @Redemption = 100.
Examples
In this example we calculate the price of a bond maturing on 2019-01-15 with the following step-up schedule:
2010-01-15 5.0%
2013-01-15 5.5%
2016-01-15 6.0%
The yield is 5% and the settlement date is April 15, 2013.
SELECT wct.PRICESTEP(
'2013-04-15', --@Settlement
'2019-01-15', --@Maturity
.05, --@Yield
100, --@Redemption
2, --@Frequency
0, --@Basis
'SELECT wct.CALCDATE(2010,1,15), 0.05 UNION ALL
SELECT wct.CALCDATE(2013,1,15), 0.055 UNION ALL
SELECT wct.CALCDATE(2016,1,15), 0.06' --@Coupons
) as PRICE;
This produces the following result.
{"columns":[{"field":"PRICE","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"PRICE":"103.665743246561"}]}
The SELECT statement in @Coupons can make reference to another table, as in the following example.
SELECT *
INTO #coups
FROM
(
SELECT wct.CALCDATE(2010, 1, 15),
0.05
UNION ALL
SELECT wct.CALCDATE(2013, 1, 15),
0.055
UNION ALL
SELECT wct.CALCDATE(2016, 1, 15),
0.06
) n(coupdate, couprate);
SELECT wct.PRICESTEP( '2013-04-15', --@Settlement
'2019-01-15', --@Maturity
.05, --@Yield
100, --@Redemption
2, --@Frequency
0, --@Basis
'SELECT * FROM #coups' --@Coupons
) as PRICE;
This produces the following result.
{"columns":[{"field":"PRICE","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"PRICE":"103.665743246561"}]}
In this example we have multiple securities with different step-up schedules. For purposes of this example, the coupon schedules are stored in a temporary table, #coups, and the rest of the pricing information is stored in the derived table n. We also use the XLeratorDB QUOTES function simplifying the @Coupons variable.
SELECT *
INTO #coups
FROM
(
SELECT 'ABC',
'2010-01-15',
0.050
UNION ALL
SELECT 'ABC',
'2013-01-15',
0.055
UNION ALL
SELECT 'ABC',
'2016-01-15',
0.060
UNION ALL
SELECT 'GHI',
'2031-07-22',
0.070
UNION ALL
SELECT 'GHI',
'2026-07-22',
0.0675
UNION ALL
SELECT 'GHI',
'2021-07-22',
0.0650
UNION ALL
SELECT 'GHI',
'2016-07-22',
0.0625
UNION ALL
SELECT 'GHI',
'2011-07-22',
0.0600
UNION ALL
SELECT 'XYZ',
'2023-03-01',
0.0600
UNION ALL
SELECT 'XYZ',
'2019-03-01',
0.0575
UNION ALL
SELECT 'XYZ',
'2015-03-1',
0.0550
UNION ALL
SELECT 'XYZ',
'2011-03-1',
0.0
) n(secid, coupdate, couprate);
SELECT secid,
wct.PRICESTEP(
'2013-04-09',
maturity,
yield,
redemption,
frequency,
basis,
'SELECT coupdate
,couprate
FROM #coups
WHERE secid = ''' + secid + ''''
) as PRICE
FROM
(
SELECT 'ABC',
'2019-01-15',
.05,
100,
2,
0
UNION ALL
SELECT 'GHI',
'2036-07-22',
.05,
103,
2,
1
UNION ALL
SELECT 'XYZ',
'2027-03-01',
.05,
101,
1,
0
) n(secid, maturity, yield, redemption, frequency, basis);
This produces the following result.
{"columns":[{"field":"secid"},{"field":"PRICE","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"secid":"ABC","PRICE":"103.670987805261"},{"secid":"GHI","PRICE":"120.467993586393"},{"secid":"XYZ","PRICE":"97.4783247467923"}]}
See Also
YIELDSTEP - Calculate the Yield of a security with step-up rates