ODDFPRICE

ODDFPRICE is a DAX function that returns the price per $100 face value of a security with an odd first period.

Syntax

ODDFPRICE(
   Settlement,
   Maturity,
   Issue,
   First_coupon,
   Rate,
   Yld,
   Redemption,
   Frequency,
   Basis
)

Argument	Properties	Description
Settlement		The security’s settlement date. The security settlement date is the date after the issue date when the security is traded to the buyer.
Maturity		The security’s maturity date. The maturity date is the date when the security expires.
Issue		The security’s issue date.
First_coupon		The security’s first coupon date.
Rate		The security’s interest rate.
Yld		The security’s annual yield.
Redemption		The security’s redemption value per $100 face value.
Frequency		The number of coupon payments per year. For annual payments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4.
Basis	Optional	The type of day count basis to use.

Return Values

The price per $100 face value.

Remarks

• Dates are stored as sequential serial numbers so they can be used in calculations. In DAX, December 30, 1899 is day 0, and January 1, 2008 is 39448 because it is 39,448 days after December 30, 1899.

• The settlement date is the date a buyer purchases a coupon, such as a bond. The maturity date is the date when a coupon expires. For example, suppose a 30-year bond is issued on January 1, 2008, and is purchased by a buyer six months later. The issue date would be January 1, 2008, the settlement date would be July 1, 2008, and the maturity date would be January 1, 2038, which is 30 years after the January 1, 2008, issue date.

• ODDFPRICE is calculated as follows:

  Odd short first coupon:

  $$\text{ODDFPRICE}=[\frac{\text{redemption}}{(1+\frac{\text{yld}}{\text{frequency}}{)}^{(N-1+\frac{\text{DSC}}{\text{E}})}}]+[\frac{100\times \frac{\text{rate}}{\text{frequency}}\times \frac{\text{DFC}}{\text{E}}}{(1+\frac{\text{yld}}{\text{frequency}}{)}^{(\frac{\text{DSC}}{\text{E}})}}]+[\sum _{k=2}^N\frac{100\times \frac{\text{rate}}{\text{frequency}}}{(1+\frac{\text{yld}}{\text{frequency}}{)}^{(k-1+\frac{\text{DSC}}{\text{E}})}}]-[100\times \frac{\text{rate}}{\text{frequency}}\times \frac{\text{A}}{\text{E}}]$$

  where:

  • $\text{A}$ = number of days from the beginning of the coupon period to the settlement date (accrued days).
  • $\text{DSC}$ = number of days from the settlement to the next coupon date.
  • $\text{DFC}$ = number of days from the beginning of the odd first coupon to the first coupon date.
  • $\text{E}$ = number of days in the coupon period.
  • $\text{N}$ = number of coupons payable between the settlement date and the redemption date. (If this number contains a fraction, it is raised to the next whole number.)

  Odd long first coupon:

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