Manuals/calci/ODDFPRICE

ODDFPRICE (SettlementDate,MaturityDate,IssueDate,FirstCouponDate,Rate,Yield,Redemption,Frequency,Basis)

• $SettlementDate$ is the settlement.
• $MaturityDate$ is the maturity.
• $IssueDate$ is the issue date.
• $FirstCouponDate$ is the first coupon date.
• $Rate$ is the rate of interest.
• $Yield$ is the security's yield.
• $Redemption$ is the security's redemption.
• $Frequency$ is the frequency.
• $Basis$ 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 $ODDFPRICE(SettlementDate,MaturityDate,IssueDate,FirstCouponDate,Rate,Yield,Redemption,Frequency,Basis)$,$SettlementDate$ is the security's settlementDate. It is a Date or DateTime specifying when the security was purchased.
• $MaturityDate$ is the security's maturity date. This date is after the settlement date specifying when the security matures.
• $IssueDate$ is the date which is specifying when the security was issued.
• $FirstCouponDate$ 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.
• $Rate$ is a non-negative number specifying the interest rate for the coupons that the security pays.
• $Yield$ is a non-negative number or currency specifying the security’s purchase price per $100 of face value.
• $Redemption$ is a number or currency specifying the security’s value at redemption per $100 of face value.
• $Frequency$ is is a number specifying the number of coupons per year.

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

• The supported values are

 1 -annual payments
 2 -semiannual payments
 4 -quarterly.

• $Basis$ 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

• $ODDFPRICE$ is calculated as follows:

$\left[{\frac {redemption}{\left(1+{\frac {yld}{frequency}}\right)^{\left(N+N_{3}+{\frac {DSC}{E}}\right)}}}\right]+\left[{\dfrac {100*{\frac {rate}{frequency}}*\sum _{i=1}^{NC}{\dfrac {DC_{i}}{NL_{i}}}}{\left(1+{\dfrac {yld}{frequency}}\right)^{\left(N_{3}+{\frac {DSC}{E}}\right)}}}\right]+\left[\sum _{k=1}^{N}{\dfrac {100*{\frac {rate}{frequency}}}{\left(1+{\dfrac {yld}{frequency}}\right)^{\left(k-N_{2}+{\dfrac {DSC}{E}}\right)}}}\right]-\left[100*{\frac {rate}{frequency}}*\sum _{i=1}^{NC}{\frac {A_{i}}{NL_{i}}}\right]$

• Odd short first coupon:
• $ODDFPRICE$=
• $A$ = number of days from the beginning of the coupon period to the settlement date (accrued days).
• $DSC$ = number of days from the settlement to the next coupon date.
• $DFC$ = number of days from the beginning of the odd first coupon to the first coupon date.
• $E$ = number of days in the coupon period.
• $N$ = 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:
• $ODDFPRICE$=
• $A_{i}$ = number of days from the beginning of the ith, or last, quasi-coupon period within odd period.
• $DC_{i}$ = 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).
• $DSC$ = number of days from settlement to next coupon date.
• $E$ = number of days in coupon period.
• $N$ = 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.)
• $NC$ = number of quasi-coupon periods that fit in odd period. (If this number contains a fraction, it is raised to the next whole number.)
• $NL_{i}$ = normal length in days of the full ith, or last, quasi-coupon period within odd period.
• $Nq$ = 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 $SettlementDate$, $MaturityDate$,$IssueDate$,$FirstCouponDate$ and $Basis$ 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

• ODDFYIELD
• ODDLPRICE
• ODDLYIELD

References

• Oddfprice

• List of Main Z Functions

• Z3 home