SQL Server PRICEMAT Function

Updated 2023-10-06 21:15:29.277000

Description

Use the scalar function PRICEMAT to calculate the price (expressed per 100 par value) of a security that pays interest at maturity. The PRICEMAT formula is:

Where:

Syntax

SELECT [westclintech].[wct].[PRICEMAT] (
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Issue, datetime,>
 ,<@Rate, float,>
 ,<@Yld, 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. @Issue 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.

@Yld

the security's annual yield. @Yld 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.

Return Type

float

Remarks

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

If @Basis is NULL then @Basis = 0.

If @Basis is invalid then PRICEMAT returns an error.

Examples

This security issued on 2014-07-31 matures on 2014-12-15 with an interest rate of 0.5% and a yield of 0.2%. Interest is calculated using the Actual/365 day-count convention.

SELECT
   wct.PRICEMAT(
    '2014-10-07'  --@Settlement
   ,'2014-12-15'  --@Maturity
   ,'2014-07-31'  --@Issue   
   ,0.005         --@Rate
   ,0.002         --@Yield
   ,3             --@Basis
   ) as Price;

This produces the following result.

This security issued on 2014-08-15 matures on 2014-12-01 with an interest rate of -0.05% and a yield of 0.1%. Interest is calculated using the Actual/360 day-count convention.

SELECT
   wct.PRICEMAT(
    '2014-10-07'  --@Settlement
   ,'2014-12-01'  --@Maturity
   ,'2014-08-15'  --@Issue   
   ,-0.0005       --@Rate
   ,0.001         --@Yield
   ,2             --@Basis
   ) as Price;

This produces the following result.

This security issued on 2014-08-10 matures on 2014-11-15 with a yield of -0.05% and an interest rate of 0.2%. Interest is calculated using the 30/E 360 (ISDA) day-count convention.

SELECT
   wct.PRICEMAT(
    '2014-10-07'  --@Settlement
   ,'2014-11-15'  --@Maturity
   ,'2014-08-10'  --@Issue   
   ,0.002         --@Rate
   ,-0.0005       --@Yield
   ,4             --@Basis
   ) as Price;

This produces the following result.

This security issued on 2014-07-01 matures on 2014-12-29 with an interest rate of 7.0% and a yield of 8.5%. Interest is calculated using the Actual/364 day-count convention.

SELECT
   wct.PRICEMAT(
    '2014-10-07' --@Settlement
   ,'2014-12-29' --@Maturity
   ,'2014-07-01' --@Issue   
   ,0.07          --@Rate
   ,0.085         --@Yield
   ,9             --@Basis
   ) as Price;

This produces the following result.

See Also

IAM - Price and/or yield of a security paying interest at maturity

IAMFACTORS - Factors for the price calculation of a security paying interest at maturity

ODDFPRICE - Price of a security with an odd first coupon

ODDLPRICE - Price of a bond with an odd last coupon

OFLPRICE - Price of a security with an odd last coupon.

PRICE - Price of a bond paying regular periodic interest

PRICEDISC - Price of a discount security

PRICESTEP - Calculate the Price of a security with step-up rates

YIELDMAT - Calculate the YIELD of an Interest-at-Maturity Security