prdisc

Price of discounted security

Syntax

Price = prdisc(Settle,Maturity,FaceDiscount)

Price = prdisc(___,Basis)

Description

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

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

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

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

Settle — Settlement date

datetime scalar | string scalar | date character vector

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 — Maturity date

datetime scalar | string scalar | date character vector

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

Face — Redemption (par, face) value

numeric

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

Data Types: double

Discount — Bank discount rate of the security

decimal fraction

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

Data Types: double

Basis — Day-count basis of instrument

0 (default) | numeric values: 0,1, 2, 3, 4, 6, 7, 8, 9, 10, 11, 12, 13

(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

Price — Price of discounted security

numeric

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

R2022b: Serial date numbers not recommended

Although prdisc supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.