Manuals/calci/ODDFPRICE

From ZCubes Wiki
Jump to navigation Jump to search
ODDFPRICE (SettlementDate,MaturityDate,IssueDate,FirstCouponDate,Rate,Yield,Redemption,Frequency,Basis)


  • 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 SettlementDate } is the settlement.
  • 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 MaturityDate } is the maturity.
  • 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 IssueDate } is the issue date.
  • 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 FirstCouponDate } is the first coupon date.
  • 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 Rate } is the rate of interest.
  • 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 Yield } is the security's yield.
  • 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 Redemption } is the security's redemption.
  • 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 Frequency } is the frequency.
  • 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 Basis } is the basis.
    • ODDFPRICE(), returns the price per $100 face value of a security with an odd first period

Description

  • This function gives the price of a security that pays interest periodically, but has an odd first period.
  • This function is the inverse of the related OddFYield function.
  • In 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 ODDFPRICE (SettlementDate,MaturityDate,IssueDate,FirstCouponDate,Rate,Yield,Redemption,Frequency,Basis) } ,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 SettlementDate } is the security's settlementDate. It is a Date or DateTime specifying when the security was purchased.
  • 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 MaturityDate } is the security's maturity date. This date is after the settlement date specifying when the security matures.
  • 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 IssueDate } is the date which is specifying when the security was issued.
  • 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 FirstCouponDate } is the date which is specifying when the security has its first interest payment. This date must be after the settlement date but before the maturity date.
  • 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 Rate } is a non-negative number specifying the interest rate for the coupons that the security pays.
  • 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 Yield } is a non-negative number or currency specifying the security’s purchase price per $100 of face value.
  • 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 Redemption } is a number or currency specifying the security’s value at redemption per $100 of face value.
  • 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 Frequency } is is a number specifying the number of coupons per year.

ODDFPRICE is calculated as: 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 \left [\frac{redemption}{\left (1+\frac{yld}{frequency}\right )^{\left (N-1+\frac{DSC}{E}\right )}}\right ] + \left [\dfrac{100*\frac{rate}{frequency}*\frac{DFC}{E}}{\left (1+\dfrac{yld}{frequency}\right )^{\left (\dfrac{DSC}{E}\right )}}\right ] + \left [\sum_{k=2}^N\dfrac{100*\frac{rate}{frequency}}{\left (1+\dfrac{yld}{frequency}\right )^{\left (k-1+\dfrac{DSC}{E}\right )}}\right ] - \left [100*\frac{rate}{frequency}*\frac{A}{E}\right ] }

  • The supported values are
 1 -annual payments
 2 -semiannual payments
 4 -quarterly.
  • 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 Basis } is is an optional number specifying the day basis system to use.
  • The following types are supported
Basis Day count basis
0 or omitted American 30/360 (default)
1 actual/actual
2 actual/360
3 actual/365
4 European 30/360
  • is calculated as follows:

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 \left [\frac{redemption}{\left (1+\frac{yld}{frequency}\right )^{\left (N+N_3+\frac{DSC}{E}\right )}}\right ] + \left [\dfrac{100*\frac{rate}{frequency}* \sum_{i=1}^{NC}\dfrac{DC_i}{NL_i}}{\left (1+\dfrac{yld}{frequency}\right )^{\left (N_3+\frac{DSC}{E}\right )}}\right ] + \left [\sum_{k=1}^N\dfrac{100*\frac{rate}{frequency}}{\left (1+\dfrac{yld}{frequency}\right )^{\left (k-N_2+\dfrac{DSC}{E}\right )}}\right ] - \left [100*\frac{rate}{frequency}* \sum_{i=1}^{NC}\frac{A_i}{NL_i}\right ] }

  • Odd short first coupon:
  • 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 ODDFPRICE} =
  • 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 A } = number of days from the beginning of the coupon period to the settlement date (accrued days).
  • 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 DSC } = number of days from the settlement to the next coupon date.
  • 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 DFC } = number of days from the beginning of the odd first coupon to the first coupon date.
  • 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 E } = number of days in the coupon period.
  • 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 N } = number of coupons payable between the settlement date and the redemption date. (If this number contains a fraction, it is raised to the next whole number.)
  • Odd long first coupon:
  • 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 ODDFPRICE} =
  • 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 A_i} = number of days from the beginning of the ith, or last, quasi-coupon period within odd period.
  • 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 DC_i} = number of days from dated date (or issue date) to first quasi-coupon (i = 1) or number of days in quasi-coupon (i = 2,..., i = NC).
  • 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 DSC } = number of days from settlement to next coupon date.
  • 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 E } = number of days in coupon period.
  • 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 N } = number of coupons payable between the first real coupon date and redemption date. (If this number contains a fraction, it is raised to the next whole number.)
  • 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 NC } = number of quasi-coupon periods that fit in odd period. (If this number contains a fraction, it is raised to the next whole number.)
  • 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 NL_i} = normal length in days of the full ith, or last, quasi-coupon period within odd period.
  • 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 Nq} = number of whole quasi-coupon periods between settlement date and first coupon.
  • The date arguments must satisfy the following conditions:
     IssueDate<SettlementDate <FirstCouponDate < MaturityDate.
  • Also 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 SettlementDate} , 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 MaturityDate} ,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 IssueDate} ,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 FirstCouponDate} and 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 Basis} are truncated in to integers.
  • This function gives the result as error when
    1.The date arguments SettlementDate,MaturityDate and FirstCouponDate are not a valid date.
    2.Rate<0 or Yield<0
    3.Basis<0 or Basis>4

Examples

Spreadsheet
A B
1 5/1/2001 4/30/1999
2 3/29/2030 1/5/2015
3 4/10/2001 3/10/1999
4 8/16/2005 2/1/2000
5 8.1% 9.35%
6 6.9% 8.76%
7 150 75
8 1 1
9 0 0
  1. =ODDFPRICE(A1,A2,A3,A4,A5,A6,A7,A8,A9) = 118.7679606261
  2. =ODDFPRICE(B1,B2,B3,B4,B5,B6,B7,B8,B9)= 98.2709210000
  3. =ODDFPRICE(B1,B2,B3,B4,B5,B6,B7,2,2) =98.3610959065

Related Videos

ODDFPRICE

See Also

References


Retrieved from "http://wiki.zcubes.com/index.php?title=Manuals/calci/ODDFPRICE&oldid=211347"