,Disc(Settlement: DateTime; Maturity: DateTime; NominalCost: Double; Redemption: Double; [Basis: Integer = 0]): Double;
Disc(Settlement: System.DateTime; Maturity: System.DateTime; NominalCost: double; Redemption: double; Basis: integer): double;
Settlement. The payment day on securities. Must be less than Maturity
Maturity. The security's maturity date. Must be greater than Settlement
NominalCost. Face value of securities. Must be positive
Redemption. The security's redemption price per $100 face value. Must be positive
Basis. The day calculation method used. Select a value from 0 to 4:
0. The day calculation method - American/360 days (NSAD method).
1. The day calculation method - Actual/actual.
2. The day calculation method - Actual/360 days.
3. The day calculation method - Actual/365 days.
4. The day calculation method - European 30/360 days.
The Disc method returns discount rate for securities.
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 that depends on the selected Basis argument value.
DSM. The number of days between the Settlement and Maturity dates.
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;
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;
After executing the example the console window displays the discounting rate equal to -2.4.
See also: