IFinance.Disc

Fore Syntax

Disc(Settlement: DateTime;

Maturity: DateTime;

NominalCost: Double;

Redemption: Double;

Basis: Integer): Double;

Fore.NET Syntax

Disc(Settlement: System.DateTime;

Maturity: System.DateTime;

NominalCost: double;

Redemption: double;

Basis: integer): double;

Parameters

Parameters	Description	Constraints
Settlement	Securities settlement date.	Must be less than Maturity.
Maturity	Securities maturity date.	Must be greater than Settlement.
NominalCost	Securities price for $100 of face value.	Must be positive.
Redemption	Redemption price for $100 of face value.	Must be positive.
Basis	The method of day calculation in use: 0 - American/360 days (NSAD method). 1 - Factual/factual. 2 - Factual/360days. 3 - Factual/365 days. 4 - European 30/360 days.	Must be in the [0,4] interval.

Description

The Disc method returns discount rate for securities.

Comments

The agreement date is the date of selling a coupon, for example, a bond, to the buyer. The payment date is the coupon expiry date. For example, a bond with duration of 30 years was issued on Jan 1 2008 and was acquired by a buyer in 6 months after the issue date. The issue date is Jan 1 2008, the settlement date - July 1 2008, and the maturity date is Jan 1 2038, that is, 30 years after the issue date.

Disc is calculated using the following formula:

Where:

B. The number of days in a year (depends on the selected Basis argument value).
DSM. The number of days between the Settlement and Maturity dates.

Fore Example

To execute the example, add a link to the MathFin system assembly.

Sub UserProc;
Var
    r: Double;
Begin
    r := Finance.Disc(DateTime.ComposeDay(2008,01,01), DateTime.ComposeDay(2008,06,01), 50, 100, 0);
    Debug.WriteLine(r);
End Sub UserProc;

After executing the example the console window displays the discounting rate equal to -2.4.

Fore.NET Example

The requirements and result of the Fore.NET example execution match with those in the Fore example.

Imports Prognoz.Platform.Interop.MathFin;
…
Public Shared Sub Main(Params: StartParams);
Var
    r: double;
    Finance: FinanceClass = New FinanceClass();
    DateTime1, DateTime2: System.DateTime;
Begin
    DateTime1 := New DateTime(2008,01,01);
    DateTime2 := New DateTime(2008,06,01);
    r := Finance.Disc(DateTime1, DateTime2, 50, 100, 0);
    System.Diagnostics.Debug.WriteLine(r);
End Sub;