ODDFPRICE
The price of a bond whose first coupon period is shorter or longer than the rest.
Group: Financial. Compatible with DAX.
Syntax
ODDFPRICE ( <settlement>, <maturity>, <issue>, <first_coupon>, <rate>, <yld>, <redemption>, <frequency> [, <basis>] )| Parameter | Type | Description |
|---|---|---|
settlement | Date | The day the buyer takes the security over; later than its issue. |
maturity | Date | The day the security ends and its face value is repaid. |
issue | Date | The day the security was issued and began to earn interest. |
first_coupon | Date | The day of the first coupon; it must be one of the coupon dates counted back from maturity. |
rate | Number | The coupon: the interest paid a year, as a decimal of the face value (0.04 for 4 %). |
yld | Number | The yield a year the buyer earns, as a decimal. |
redemption | Number | What is repaid at maturity, in percent of the face value: usually 100. |
frequency | Whole number | Coupons a year: 1 for yearly, 2 for half-yearly, 4 for quarterly. |
basis | Whole number optional | The day count, by number: US 30/360 (0, when left out), actual/actual (1), actual/360 (2), actual/365 (3) or European 30/360 (4). |
Returns
Number. The clean price, without accrued interest, in percent of the face value.
Remarks
- The first period, from the issue to the first coupon, may be shorter or longer than the regular ones; its coupon is prorated by its length on the day count chosen.
- As with
PRICE, the result leaves out the interest accrued since the issue; the buyer pays that on top. - The dates must come in the order issue, settlement, first coupon, maturity; otherwise, or when the first coupon is not on maturity's schedule, the result is an error.
- A rate or yield below 0, or a redemption of 0 or less, is an error. The dates are taken as whole days. frequency and basis are rounded to whole numbers first; a frequency other than 1, 2 or 4, or a basis outside 0 to 4, is an error.
Examples
A long bond with a short first period
Issued 15 October 2008 and bought 11 November, with its first coupon on 1 March 2009 and the rest every half year to 2021: 7.85 % coupons priced at a 6.25 % yield.
EVALUATE
ROW (
"Price", ODDFPRICE ( DATE ( 2008, 11, 11 ), DATE ( 2021, 3, 1 ), DATE ( 2008, 10, 15 ), DATE ( 2009, 3, 1 ), 0.0785, 0.0625, 100, 2, 1 )
)| Price |
|---|
| 113.597717474079 |
A long first period
The same bond issued on 1 December 2007, fifteen months before its first coupon, on actual/360.
EVALUATE
ROW (
"Price", ODDFPRICE ( DATE ( 2008, 11, 11 ), DATE ( 2021, 3, 1 ), DATE ( 2007, 12, 1 ), DATE ( 2009, 3, 1 ), 0.0785, 0.0625, 100, 2, 2 )
)| Price |
|---|
| 113.36221877788 |