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cdprice - Price of certificate of deposit

Syntax

[Price, AccrInt] = cdprice(Yield, CouponRate, Settle, Maturity, 
IssueDate, Basis)

Arguments

Yield

Simple yield to maturity over the basis denominator.

CouponRate

Coupon interest rate in decimal.

Settle

Settlement date. Settle must be earlier than Maturity.

Maturity

Maturity date.

IssueDate

Issue date.

Basis

(Optional) Day-count basis of the instrument.

  • 0 = actual/actual (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (BMA)

  • 5 = 30/360 (ISDA)

  • 6 = 30/360 (European)

  • 7 = actual/365 (Japanese)

  • 8 = actual/actual (ICMA)

  • 9 = actual/360 (ICMA)

  • 10 = actual/365 (ICMA)

  • 11 = 30/360E (ICMA)

  • 12 = actual/actual (ISDA)

  • 13 = BUS/252

For more information, see basis.

Each required input must be some certificates of deposit (NCDS)-by-1 or 1-by-NCDS conforming vector or scalar. The optional Basis argument may be either a NCDS-by-1 or a 1-by-NCDS vector, a scalar, or the empty matrix ([]).

Description

[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.

Examples

Given a certificate of deposit with these characteristics, compute the price and the accrued interest due on the settlement date.

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

See Also

bndprice | cdai | cdyield | stepcpnprice | tbillprice

  

 

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