Difference between revisions of "Manuals/calci/INTRATE"
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(Created page with "<div id="6SpaceContent" class="zcontent" align="left"> '''INTRATE'''(SettlementDate, MaturityDate, Investment,Redemption,Basis) where, '''SettlementDate''' - repres...") |
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− | + | =INTRATE(SettlementDate, MaturityDate, Investment, Redemption, Basis)= | |
− | '' | + | *where, <math>SettlementDate</math> is the security's settlement date (a date when coupon or a bond is purchased) |
+ | *<math>MaturityDate</math> is the security's maturity date (a date when coupon or a bond expires) | ||
+ | *<math>Investment</math> is the amount invested in the security or a bond | ||
+ | *<math>Redemption</math> is the amount to be received at maturity of a bond | ||
+ | *<math>Basis</math> is the type of day count basis to use | ||
− | + | INTRATE() calculates the interest rate for a fully invested security. | |
− | + | == Description == | |
− | + | INTRATE(SettlementDate, MaturityDate, Investment, Redemption, Basis) | |
− | '''Investment | + | *<math>SettlementDate</math> and <math>MaturityDate</math> should be entered either in 'date format' or 'dates returned using formulas'. If dates are not valid, Calci displays #N/A error message. |
+ | *If <math>SettlementDate</math> >= <math>MaturityDate</math>, Calci displays #N/A error message. | ||
+ | *If <math>Investment</math> <=0 or <math>Redemption</math> <=0, Calci displays #N/A error message. | ||
+ | *<math>Basis</math> value is optional. If omitted, Calci assumes it to be 0. | ||
+ | Below table shows the use of <math>Basis</math> values: | ||
− | + | {| class="wikitable" | |
+ | |- | ||
+ | ! Basis !! Description | ||
+ | |- | ||
+ | | 0 || US (NASD) 30/360 | ||
+ | |- | ||
+ | | 1 || Actual/actual | ||
+ | |- | ||
+ | | 2 || Actual/360 | ||
+ | |- | ||
+ | | 3 || Actual/365 | ||
+ | |- | ||
+ | | 4 || European 30/365 | ||
+ | |} | ||
− | ''' | + | *If <math>Basis</math> value is other than 0 to 4, Calci displays #N/A error message. |
+ | *Formula: | ||
+ | If 'B' is number of days in a year, and 'D' is number of days from 'settlement' to | ||
+ | maturity', then INTRATE is calculated as - | ||
− | + | INTRATE = <math>\frac{\(redemption-investment)}{investment} X \frac{\B}{DIM}</math> | |
− | + | == Examples == | |
− | + | Consider the following example that shows the use of DURATION function: | |
− | + | <div id="2SpaceContent" class="zcontent" align="left"> | |
− | + | {| id="TABLE3" class="SpreadSheet blue" | |
+ | |- class="even" | ||
+ | | class="sshl_f" | 11/1/2010 | ||
+ | | class=" " | | ||
+ | | class=" " | | ||
− | + | |- class="odd" | |
+ | | class="sshl_f" | 2/20/2011 | ||
+ | | class=" " |2/2/2014 | ||
+ | | class=" " | | ||
− | + | |- class="even" | |
− | + | | class="sshl_f" | 500000 | |
− | + | | class=" " |7000 | |
+ | | class=" " | | ||
− | + | |- class="odd" | |
+ | | class="sshl_f" | 800000 | ||
+ | | class=" " |9000 | ||
+ | | class=" " | | ||
− | + | |- class="even" | |
+ | | class="sshl_f" | 4 | ||
+ | | class=" " |1 | ||
+ | | class=" " | | ||
− | + | |- class="odd" | |
+ | | class="sshl_f" | | ||
+ | | class=" " | | ||
+ | | class=" " | | ||
− | + | |} | |
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− | INTRATE | + | =INTRATE(A1,A2,A3,A4,A5) displays ''1.981651376146789'' as a result. |
+ | =INTRATE(DATE(2013,1,1),B2,B3,B4,B5) displays ''0.2622154311211943'' as a result. | ||
− | + | == See Also == | |
− | |||
− | |||
− | + | *[[Manuals/calci/RATE | RATE]] | |
− | + | == References == | |
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− | + | *[http://en.wikipedia.org/wiki/Interest_rate_derivative Interest Rate Derivative] | |
− | + | *[http://en.wikipedia.org/wiki/Day_count_convention Day Count Basis] |
Revision as of 17:17, 3 January 2014
INTRATE(SettlementDate, MaturityDate, Investment, Redemption, Basis)
- where, is the security's settlement date (a date when coupon or a bond is purchased)
- is the security's maturity date (a date when coupon or a bond expires)
- is the amount invested in the security or a bond
- is the amount to be received at maturity of a bond
- is the type of day count basis to use
INTRATE() calculates the interest rate for a fully invested security.
Description
INTRATE(SettlementDate, MaturityDate, Investment, Redemption, Basis)
- and should be entered either in 'date format' or 'dates returned using formulas'. If dates are not valid, Calci displays #N/A error message.
- If >= , Calci displays #N/A error message.
- If <=0 or <=0, Calci displays #N/A error message.
- value is optional. If omitted, Calci assumes it to be 0.
Below table shows the use of values:
Basis | Description |
---|---|
0 | US (NASD) 30/360 |
1 | Actual/actual |
2 | Actual/360 |
3 | Actual/365 |
4 | European 30/365 |
- If value is other than 0 to 4, Calci displays #N/A error message.
- Formula:
If 'B' is number of days in a year, and 'D' is number of days from 'settlement' to maturity', then INTRATE is calculated as -
INTRATE = Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle \frac{\(redemption-investment)}{investment} X \frac{\B}{DIM}}
Examples
Consider the following example that shows the use of DURATION function:
11/1/2010 | ||
2/20/2011 | 2/2/2014 | |
500000 | 7000 | |
800000 | 9000 | |
4 | 1 | |
=INTRATE(A1,A2,A3,A4,A5) displays 1.981651376146789 as a result. =INTRATE(DATE(2013,1,1),B2,B3,B4,B5) displays 0.2622154311211943 as a result.