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 = '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

Settle — Settlement date

serial date number | date character vector | datetime

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 — Maturity date

serial date number | date character vector | datetime

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

Data Types: double | datetime | 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