prdisc

Price of discounted security

Syntax

Price = prdisc(Settle,Maturity,FaceDiscount)
Price = prdisc(___,Basis)

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

Price = prdisc(datetime(Settle,'Locale','en_US'),datetime(Maturity,'Locale','en_US'), Face, Discount, Basis)
Price = 96.2783

Input Arguments

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Settlement date, specified as serial date numbers, date character vectors, or datetime arrays.

Settle must be earlier than Maturity.

Data Types: double | datetime | char

Maturity date, specified as serial date numbers, date character vectors, or datetime arrays.

Data Types: double | datetime | 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.

Introduced before R2006a