Financial Toolbox™

prdisc - Price of discounted security

Syntax

Price = prdisc(Settle, Maturity, Face, Discount, Basis)

Arguments

`Settle`	Enter as serial date number or date string. Settle must be earlier than or equal to `Maturity`.
`Maturity`	Enter as serial date number or date string.
`Face`	Redemption (par, face) value.
`Discount`	Bank discount rate of the security. Enter as decimal fraction.
`Basis`	(Optional) Day-count basis of the instrument. A vector of integers. 0 = actual/actual (default) 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 (ISMA) 9 = actual/360 (ISMA) 10 = actual/365 (ISMA) 11 = 30/360E (ISMA) 12 = actual/365 (ISDA)

Description

Price = prdisc(Settle, Maturity, Face, Discount, Basis) returns the price of a security whose yield is quoted as a bank discount rate (for example, U. S. Treasury bills).

Examples

Using this data

Settle = '10/14/2000';
Maturity = '03/17/2001';
Face = 100;
Discount = 0.087;
Basis = 2;

Price = prdisc(Settle, Maturity, Face, Discount, Basis)

returns

 Price =

         96.2783

References