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prdisc

Price of discounted security

Description

example

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

Price = prdisc(___,Basis) adds an optional argument for Basis.

Examples

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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

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

Settle = datetime(2000,10,14);
Maturity = datetime(2001,3,17);
Face = 100;
Discount = 0.087;
Basis = 2;

Price = prdisc(Settle,Maturity,Face, Discount, Basis)
Price = 96.2783

Input Arguments

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Settlement date, specified as a scalar datetime, string, or date character vector.

Settle must be earlier than Maturity.

To support existing code, prdisc also accepts serial date numbers as inputs, but they are not recommended.

Data Types: datetime | string | char

Maturity date, specified as a scalar datetime, string, or date character vector.

To support existing code, prdisc also accepts serial date numbers as inputs, but they are not recommended.

Data Types: datetime | string | char

Redemption (par, face) value, specified as a numeric value.

Data Types: double

Bank discount rate of the security, specified as a decimal fraction value.

Data Types: double

(Optional) Day-count basis of the instrument, specified as a numeric value. Allowed values are:

  • 0 = actual/actual

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (PSA)

  • 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/365 (ISDA)

  • 13 = BUS/252

For more information, see Basis.

Data Types: double

Output Arguments

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Price of discounted security, returned as a numeric value.

References

[1] Mayle. “Standard Securities Calculation Methods.” Volumes I-II, 3rd edition. Formula 2.

Version History

Introduced before R2006a

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