Price of certificate of deposit
[Price, AccrInt] = cdprice(Yield, CouponRate, Settle, Maturity,
Simple yield to maturity over the basis denominator.
Coupon interest rate in decimal.
(Optional) Day-count basis of the instrument.
For more information, see basis.
Each required input must be some certificates of deposit (
vector or scalar. The optional
Basis argument may
be either a
1 or a
a scalar, or the empty matrix (
[Price, AccrInt] = cdprice(Yield, CouponRate, Settle,
Maturity, IssueDate, Basis) computes the price of a certificate
of deposit given its yield.
Price is the clean price of the certificate
of deposit per $100 of face value.
AccruedInt is the accrued interest payable
at settlement per unit of face value.
This function assumes that the certificates of deposit pay interest at maturity. Because of the simple interest treatment of these securities, the function is best used for short-term maturities (less than 1 year). The default simple interest calculation is the actual/360 convention.
This example shows how to compute the price and the accrued interest due on the settlement date, given a certificate of deposit with the following characteristics.
Yield = 0.0525; CouponRate = 0.05; Settle = '02-Jan-02'; Maturity = '31-Mar-02'; IssueDate = '1-Oct-01'; [Price, AccruedInt] = cdprice(Yield, CouponRate, Settle, ... Maturity, IssueDate)
Price = 99.9233 AccruedInt = 1.2917