Investment Studio > Expressions > Functions > Financial > PRICEDISC
float pricedisc(date settlement_date, date maturity_date, float discount_rate, float redemption_value_per_100_face_value, integer day_count_basis = 0)
Returns the price of a discounted security (e.g. a zero-coupon bond). A face value of 100 is implied.
settlement_date is the date (>= the issue date) when the security is traded.
maturity_date is the date when the security expires.
Automatic type conversion allows the use of date strings as arguments instead of explicit date values.
discount_rate is the security's discount rate.
redemption_value_per_100_face_value is the price paid on redemption for a face value of 100.
day_count_basis specifies the calendar convention used to count days and compute the corresponding fraction of a year:
| day_count_basis | Interpretation |
| 0 | US (NASD)
30/360: If the start date is the 31st of a month, it's
set to the 30th of the same month. If the end date is the
31st of a month, it's set to the 30th of the same month
unless the start date is less than the 30th of a month,
in which case the end date is set to the 1st of the next
month. The denominator used to compute the fraction of a year is 360. |
| 1 | Actual calendar days are counted and used to compute the fraction of a year. |
| 2 | Actual calendar days are counted. The denominator used to compute the fraction of a year is 360. |
| 3 | Actual calendar days are counted. The denominator used to compute the fraction of a year is 365. |
| 4 | European 30/360: Start and end dates that occur on the 31st of a month are set to the 30th of the same month. The denominator used to compute the fraction of a year is 360. |
If day_count_basis is omitted, it defaults to 0 (NASD-style 360/30).
The price of a discounted security is given by the expression
price = redemption * (1 - discount rate) * (days from settlement to maturity / days in year)
Example
Consider a zero-coupon bond with the following properties:
Assuming standard US date format settings, the price is
=pricedisc("6/15/2002", "10/30/2005", 5%, 100, 1)
» USD 83.12.