prdisc

Price of discounted security

Syntax

Price = prdisc(Settle, Maturity, Face, Discount, Basis)

Arguments

Settle

Enter as serial date number or date string. Settle must be earlier than Maturity.

Maturity

Enter as serial date number or date string.

Face

Redemption (par, face) value.

Discount

Bank discount rate of the security. Enter as decimal fraction.

Basis

(Optional) Day-count basis of the instrument. A vector of integers.

  • 0 = actual/actual (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (BMA)

  • 5 = 30/360 (ISDA)

  • 6 = 30/360 (European)

  • 7 = actual/365 (Japanese)

  • 8 = actual/actual (ICMA)

  • 9 = actual/360 (ICMA)

  • 10 = actual/365 (ICMA)

  • 11 = 30/360E (ICMA)

  • 12 = actual/actual (ISDA)

  • 13 = BUS/252

For more information, see basis.

Description

Price = prdisc(Settle, Maturity, Face, Discount, Basis) returns the price of a security whose yield is quoted as a bank discount rate (for example, U. S. Treasury bills).

Examples

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Calculate the Price of a Security Whose Yield is Quoted as a Bank Discount Rate

This example shows how to return the price of a security whose yield is quoted as a bank discount rate (for example, U. S. Treasury bills).

Settle = '10/14/2000';
Maturity = '03/17/2001';
Face = 100;
Discount = 0.087;
Basis = 2;

Price = prdisc(Settle, Maturity, Face, Discount, Basis)
Price =

   96.2783

References

Mayle, Standard Securities Calculation Methods, Volumes I-II, 3rd edition. Formula 2.

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