Function SecurityMaturityPrice(IssueDate, SettlementDate, MaturityDate, ParValue, CouponRate, Yield, Basis)

SecurityMaturityPrice

The function SecurityMaturityPrice returns the price at settlement date of a security that pays interest at maturity.

SecurityMaturityPrice(
    IssueDate,                ! (input) scalar string expression
    SettlementDate,           ! (input) scalar string expression
    MaturityDate,             ! (input) scalar string expression
    ParValue,                 ! (input) numerical expression
    CouponRate,               ! (input) numerical expression
    Yield,                    ! (input) numerical expression
    [Basis]                   ! (optional) numerical expression
    )

Arguments

IssueDate

The date of issue of the security. IssueDate must be given in date format.

SettlementDate

The date of settlement of the security. SettlementDate must also be in date format and must be a date after IssueDate.

MaturityDate

The date of maturity of the security. MaturityDate must also be in date format and must be a date after SettlementDate.

ParValue

The starting value of the security at issue date. ParValue must be a positive real number.

CouponRate

The annual interest rate of the security as a percentage of the par value. CouponRate must be a nonnegative real number.

Yield

The yield of the security. Yield must be a nonnegative real number.

Basis

The day-count basis method to be used. The default is 1.

Return Value

The function SecurityMaturityPrice returns the price of the security at settlement date.

Note

  • This function can be used in an objective function or constraint and the input parameters ParValue, CouponRate, and Yield can be used as a variable.

  • The function SecurityMaturityPrice is similar to the Excel function PRICEMAT <https://support.microsoft.com/en-us/office/pricemat-function-52c3b4da-bc7e-476a-989f-a95f675cae77>_.

Example

The code

_p_smp := SecurityMaturityPrice(
    IssueDate      :  "2020-01-01",
    SettlementDate :  "2024-01-01",
    MaturityDate   :  "2025-01-01",
    ParValue       :  100,
    CouponRate     :  0.059,
    Yield          :  0.061,
    Basis          :  1);
block where single_column_display := 1, listing_number_precision := 6 ;
    display _p_smp ;
endblock ;

This results in:

_p_smp := 98.454665 ;

References