ODDLPRICE
The price of a bond whose last coupon period is shorter or longer than the rest.
Group: Financial. Compatible with DAX.
Syntax
ODDLPRICE ( <settlement>, <maturity>, <last_interest>, <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. |
last_interest | Date | The day of the last coupon before maturity; before settlement. |
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 last period, from the last coupon to maturity, may be shorter or longer than the regular ones; the coupon paid at maturity is prorated by its length.
- Only one payment is left, so the price is that payment discounted at simple interest, less the interest accrued since the last coupon.
- The dates must come in the order last coupon, settlement, maturity; otherwise 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 bond in its odd last period
Its last coupon was paid 15 October 2007 and it matures 15 June 2008, eight months later; bought 7 February at a 4.05 % yield, with 3.75 % coupons.
EVALUATE
ROW (
"Price", ODDLPRICE ( DATE ( 2008, 2, 7 ), DATE ( 2008, 6, 15 ), DATE ( 2007, 10, 15 ), 0.0375, 0.0405, 100, 2, 0 )
)| Price |
|---|
| 99.8782860147213 |