SQL Server OFCFACTORS Function

Updated 2023-10-06 20:43:53.430000

Description

Use the table-valued function OFCFACTORS to return the components used in the calculation of price and yield for a bond with an odd first coupon. OFCFACTORS supports odd first coupon bonds with up to 2 quasi-coupon periods.

Syntax

SELECT * FROM [westclintech].[wct].[OFCFACTORS](
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Issue, datetime,>
 ,<@FirstCoupon, datetime,>
 ,<@Rate, float,>
 ,<@Price, float,>
 ,<@Yield, float,>
 ,<@Redemption, float,>
 ,<@Frequency, float,>
 ,<@Basis, nvarchar(4000),>)

Arguments

@Settlement

the settlement date of the security. @Settlement is an expression that returns a datetime or smalldatetime value, or a character string in date format.

@Maturity

the maturity date of the security. @Maturity is an expression that returns a datetime or smalldatetime value, or a character string in date format.

@Issue

the issue date of the security; the date from which the security starts accruing interest. @Issue is an expression that returns a datetime or smalldatetime value, or a character string in date format.

@FirstCoupon

the first coupon date of the security. The period from the issue date until the first coupon date defines the odd interest period. All subsequent coupon dates are assumed to occur at regular periodic intervals as defined by @Frequency. @First_coupon is an expression that returns a datetime or smalldatetime value, or a character string in date format.

@Rate

the security's annual coupon rate. @Rate is an expression of type float or of a type that can be implicitly converted to float.

@Price

the price of the bond. @Price is an expression of type float or of a type that can be implicitly converted to float.

@Redemption

the security's redemption value per 100 face value. @Redemption is an expression of type float or of a type that can be implicitly converted to float. ### @Yield the security's annual yield. @Yld is an expression of type float or of a type that can be implicitly converted to float.

@Frequency

the number of coupon payments per year. For annual payments, @Frequency = 1; for semi-annual, @Frequency = 2; for quarterly, @Frequency = 4; for bimonthly @Frequency = 6; for monthly, @Frequency = 12. For bonds with @Basis = 'A/364' or 9, you can enter 364 for payments made every 52 weeks, 182 for payments made every 26 weeks, 91 for payments made every 13 weeks, 28 for payments made every 4 weeks, 14 for payments made every 2 weeks, and 7 for weekly payments. @Frequency is an expression of type float or of a type that can be implicitly converted to float.

@Basis

is the type of day count to use. @Basis is an expression of the character string data type category.

@Basis	Day count basis
0 , 'BOND'	US (NASD) 30/360
1 , 'ACTUAL'	Actual/Actual
2 , 'A360'	Actual/360
3 , 'A365'	Actual/365
4 , '30E/360 (ISDA)' , '30E/360' , 'ISDA' , '30E/360 ISDA' , 'EBOND'	European 30/360
5 , '30/360' , '30/360 ISDA' , 'GERMAN'	30/360 ISDA
6 , 'NL/ACT'	No Leap Year/ACT
7 , 'NL/365'	No Leap Year /365
8 , 'NL/360'	No Leap Year /360
9 , 'A/364'	Actual/364
10 , 'BOND NON-EOM'	US (NASD) 30/360 non-end-of-month
11 , 'ACTUAL NON-EOM'	Actual/Actual non-end-of-month
12 , 'A360 NON-EOM'	Actual/360 non-end-of-month
13 , 'A365 NON-EOM'	Actual/365 non-end-of-month
14 , '30E/360 NON-EOM' , '30E/360 ICMA NON-EOM' , 'EBOND NON-EOM'	European 30/360 non-end-of-month
15 , '30/360 NON-EOM' , '30/360 ISDA NON-EOM' , 'GERMAN NON-EOM'	30/360 ISDA non-end-of-month
16 , 'NL/ACT NON-EOM'	No Leap Year/ACT non-end-of-month
17 , 'NL/365 NON-EOM'	No Leap Year/365 non-end-of-month
18 , 'NL/360 NON-EOM'	No Leap Year/360 non-end-of-month
19 , 'A/364 NON-EOM'	Actual/364 non-end-of-month

Return Type

table

colName	colDatatype	colDesc
E	float	Number of coupon days in the quasi-coupon period in which the settlement date falls.
DSC	float	Number of days from the settlement date to the next quasi-coupon date.
N	int	Number of coupons between the first coupon date and the maturity date.
NCF	int	Number of quasi-coupon periods in the odd period (1 or 2).
A1	float	Number of accrued days in the first quasi-coupon period.
DFC1	float	Number of accrued days from the issue date to the next quasi-coupon date.
NLF1	float	Normal length of the first quasi-coupon period.
A2	float	Number of accrued days in the second quasi-coupon period.
DFC2	float	Number of accrued days from the quasicoup date to to the first coupon date.
NLF2	float	Normal length of the period from the quasicoup date to the first coupon date.
Nqf	float	Number of whole coupons between the settlement date and the first coupon date.
quasistart	datetime	Implied previous coupon date with respect to the issue date.
quasicoup	datetime	Implied next coupon date with respect to the issue date when NCF = 2.
C	float	Coupon amount
FC	float	First coupon amount
P	float	Price. If @Yield is NOT NULL then P is calculated from the inputs otherwise P is the value entered in @Price.
AI	float	Accrued interest as of the settlement date.
Y	float	Yield. If @Yield is NOT NULL then Y is the value entered in @Yield otherwise Y is calculated from the inputs.

Remarks

If @Settlement is NULL then @Settlement = GETDATE().

If @Rate is NULL then @Rate = 0.

If @Redemption is NULL then @Redemption = 100.

If @Frequency is NULL then @Frequency = 2.

If @Basis is NULL then @Basis = 0.

If @Frequency is any number other than 1, 2, 4, 6 or 12, or for @Basis = 'A/364' any number other than 1, 2, 4, 6 or 12 as well as 7, 14, 28, 91, 182 or 364 OFCFACTORS returns an error.

If @Basis invalid (see above list), OFCFACTORS returns an error.

If @Maturity is NULL then an error is returned.

If @Issue is NULL then an error is returned.

If @FirstCoupon is NULL then an error is returned.

If @Settlement >= @FirstCoupon then nothing is returned.

The first quasi-coupon period is always the quasi-coupon period in which the issue date occurs.

The previous coupon date for the first quasi-coupon period is calculated using @Frequency, @Basis, and @Maturity. This is the value returned in quasistart.

If there is only one quasi-coupon period then quasicoup is NULL. Otherwise the previous coupon date for the second quasi-coupon period is calculated using @Frequency, @Basis, and @Maturity.

If there are 2 quasi-coupon periods then DFC2 = NLF2.

Examples

This bond has an odd short first coupon (meaning that the first coupon period is shorter than a normal coupon period) and settles on the issue date.

SELECT *
FROM wct.OFCFACTORS(   '2014-05-01', --@Settlement
                       '2034-06-15', --@Maturity
                       '2014-05-01', --@Issue
                       '2014-06-15', --@FirstCoupon
                       0.025,        --@Rate
                       NULL,         --@Price
                       0.0276,       --@Yield
                       100,          --@Redemption
                       2,            --@Frequency
                       1             --@Basis
                   );