DISC(settlement, maturity, par, redemption, basis)

The DISC function calculates the discount rate for a security. The function arguments are:

settlement

is the settlement date of the security, expressed as a date code

maturity

is the maturity date of the security, expressed as a date code

par

is the price of the security per $100 face value

redemption

is the amount received at maturity per $100 face value

basis

is the type of day count basis to use, where basis is one of the following:

Basis

Day count basis

0

US 30/360

1

Actual/actual

2

Actual/360

3

Actual/365

4 or omitted

European 30/360

DISC is calculated using the formula:

[(redemption - par)/redemption] * B/DSM

where B is the number of days in a year according to the basis used and DSM is the number of days between settlement and maturity.

For example, you have been issued with a bond that comes to maturity on August 31st 1998, the settlement date is July 15th 1997, the price of the security is $95 per $100 face value, the redemption value is $100, and the day count basis is actual/actual. Using the formula

DISC(35625, 36037, 95, 100, 1)

returns a bond discount rate of 4.429 %.

See also:

Other financial functions