The PRICEMAT function calculates the price per $100 face value of a security that pays interest at maturity. 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 |
issue |
is the issue date of the security, expressed as a date code |
rate |
is the interest rate of the security at date of issue |
yield |
is the annual yield of the security |
basis |
is the type of day count basis used, 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 |
The formula used is
[100 + (DIM/B * rate * 100)] / [1 + (DSM/B * yield)] - (A/B * rate * 100)
where
B |
is the number of days in a year according to year basis used |
DSM |
is the number of days from settlement to maturity |
DIM |
is the number of days from issue to maturity |
A |
is the number of days from issue to settlement. |
For example, if a bond has settlement date 15th July, 1997, maturity date 31st October, 1997, and issue date 1st October, 1996, with an interest rate of 4.9% at date of issue and an annual yield of 5.4%, and is calculated according to a 30/360 year basis, then the formula
PRICEMAT(35625, 35733, 35338, 0.049, 0.054, 0)
returns a price of $99.79.
See also: