Difference between revisions of "Documentation/How Tos/Calc: PRICE function"
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== PRICE == | == PRICE == | ||
− | + | Calculates a quoted price for an interest paying security, per 100 currency units par value. | |
=== Syntax: === | === Syntax: === | ||
− | <tt>'''PRICE(settlementdate; maturitydate; rate; | + | <tt>'''PRICE(settlementdate; maturitydate; rate; yield; redemptionvalue; frequency; basis)'''</tt> |
− | : <tt>'''settlementdate'''</tt>: the settlement (purchase) date of the | + | : <tt>'''settlementdate'''</tt>: the settlement (purchase) date of the security. |
− | : <tt>'''maturitydate'''</tt>: the maturity (redemption) date of the | + | : <tt>'''maturitydate'''</tt>: the maturity (redemption) date of the security. |
− | : <tt>'''rate'''</tt>: the (annual) coupon rate of the | + | : <tt>'''rate'''</tt>: the (annual) coupon rate of the security. |
− | : <tt>''' | + | : <tt>'''yield'''</tt>: the required annual rate of return (compounded at each interest payment). |
− | : <tt>'''redemptionvalue'''</tt>: the redemption value of the | + | : <tt>'''redemptionvalue'''</tt>: the redemption value of the security, per 100 par value. |
: <tt>'''frequency'''</tt>: number of interest payments per year (1, 2 or 4). | : <tt>'''frequency'''</tt>: number of interest payments per year (1, 2 or 4). | ||
: <tt>'''basis'''</tt>: is the calendar system to use. Defaults to <tt>'''0'''</tt> if omitted. | : <tt>'''basis'''</tt>: is the calendar system to use. Defaults to <tt>'''0'''</tt> if omitted. | ||
Line 20: | Line 20: | ||
− | : This function calculates a quoted price for a | + | : This function calculates a quoted price for a security (the 'clean' price). The price actually paid (the 'dirty' price) is more, because it includes accrued interest. |
: <tt>'''PRICE'''</tt> returns: | : <tt>'''PRICE'''</tt> returns: | ||
:: present_value_of_coupon_payments + present_value_of_redemption_payment - accrued_coupon_interest. | :: present_value_of_coupon_payments + present_value_of_redemption_payment - accrued_coupon_interest. | ||
− | : See | + | : See [[Documentation/How_Tos/Calc: Derivation of Financial Formulas|Derivation of Financial Formulas]] for a more detailed formula. |
=== Example: === | === Example: === | ||
Line 31: | Line 31: | ||
: returns approximately <tt>'''95.06'''</tt>. | : returns approximately <tt>'''95.06'''</tt>. | ||
− | === | + | === Issues: === |
− | + | * This function calculates present values compounding the yield each coupon period, yet the yield is a return per annum. | |
− | + | * Present values for partial periods may be regarded as estimated. | |
− | + | * The price is calculated as at the date of settlement (when the money changes hands). The contract to buy the bond (the trade date) may predate that (for example by 3 days). | |
− | + | {{SeeAlso|EN| | |
− | + | * [[Documentation/How_Tos/Calc: YIELD function|YIELD]] | |
− | [[Documentation/How_Tos/Calc: Date & Time functions#Financial date systems| | + | * [[Documentation/How_Tos/Calc: PRICEDISC function|PRICEDISC]] |
− | + | * [[Documentation/How_Tos/Calc: PRICEMAT function|PRICEMAT]] | |
− | [[Documentation/How_Tos/Calc: Financial functions| | + | * [[Documentation/How_Tos/Calc: Derivation of Financial Formulas|Derivation of Financial Formulas]] |
− | + | * [[Documentation/How_Tos/Calc: Date & Time functions#Financial date systems|Financial date systems]] | |
− | + | * [[Documentation/How_Tos/Calc: Financial functions|Financial functions]] | |
− | * | + | * [[Documentation/How_Tos/Calc: Functions listed alphabetically|Functions listed alphabetically]] |
− | + | * [[Documentation/How_Tos/Calc: Functions listed by category|Functions listed by category]]}} | |
+ | [[Category: Documentation/Reference/Calc/Financial functions]] |
Latest revision as of 09:33, 17 July 2018
PRICE
Calculates a quoted price for an interest paying security, per 100 currency units par value.
Syntax:
PRICE(settlementdate; maturitydate; rate; yield; redemptionvalue; frequency; basis)
- settlementdate: the settlement (purchase) date of the security.
- maturitydate: the maturity (redemption) date of the security.
- rate: the (annual) coupon rate of the security.
- yield: the required annual rate of return (compounded at each interest payment).
- redemptionvalue: the redemption value of the security, per 100 par value.
- frequency: number of interest payments per year (1, 2 or 4).
- basis: is the calendar system to use. Defaults to 0 if omitted.
- 0 - US method (NASD), 12 months of 30 days each
- 1 - Actual number of days in months, actual number of days in year
- 2 - Actual number of days in month, year has 360 days
- 3 - Actual number of days in month, year has 365 days
- 4 - European method, 12 months of 30 days each
- This function calculates a quoted price for a security (the 'clean' price). The price actually paid (the 'dirty' price) is more, because it includes accrued interest.
- PRICE returns:
- present_value_of_coupon_payments + present_value_of_redemption_payment - accrued_coupon_interest.
- See Derivation of Financial Formulas for a more detailed formula.
Example:
PRICE("2008-02-15"; "2010-11-15"; 5%; 7%; 100; 2; 0)
- returns approximately 95.06.
Issues:
- This function calculates present values compounding the yield each coupon period, yet the yield is a return per annum.
- Present values for partial periods may be regarded as estimated.
- The price is calculated as at the date of settlement (when the money changes hands). The contract to buy the bond (the trade date) may predate that (for example by 3 days).
See Also