The PRICEDISC function calculates the price per $100 face value of a discounted 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 |
discount |
is the discount rate of the security |
redemption |
is the redemption value of the security per $100 face value |
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
redemption - (discount * redemption * DSM/B)
in which B is the number of days in a year according to the year basis used and DSM is the number of days from settlement to maturity.
For example, if a bond has settlement date 15th July, 1997, maturity date 31st October, 1997, discount rate of 4.9%, and redemption value $100, with a year basis of actual/365, then the formula
PRICEDISC(35625, 35733, 0.049, 100, 3)
returns a price of $98.55.
See also: