OddfPrice

OddfPrice(Settlement, Maturity, Issue, FirstCouponDate, Rate, YieldP, Redemption, Frequency, Basis)

Parameters

Settlement. The settlement date on securities (the date of securities sell to the buyer is later than the securities issue date).

Maturity. The security's maturity date. The maturity date is the date when the security expires

Rate. The security's interest rate. Parameter value must be greater than or equal to zero.

YieldP. The annual income on securities. Parameter value must be greater than or equal to zero.

Frequency. The annual number of coupon payments. The parameter may take the following values:

0. The day calculation method - American. 360 days (NSAD method). Default value.
1. Day calculation method - Actual/actual.
2. Day calculation method - Actual/360 days.
3. The day calculation method - Actual/365 days.
4. The day calculation method - European 30/360 days.

Optional parameter.

NOTE. To determine the parameter, it is available to specify either the parameter value or the cell address where it is located.

Description

It returns the price per $100 face value of securities for an odd: short or long first period.

Comments

The value of the Settlement parameter must be smaller that value of the Maturity parameter.

The value of the Maturity parameter must be greater that value of the FirstCouponDate parameter.

The FirstCouponDate parameter value must be greater than the Settlement parameter value.

where:

A. The number of days from the beginning of the coupon period to the settlement date (accrued days).
DSC. The number of days from the settlement to the next coupon date.
DFC. The number of days from the beginning of the odd first coupon to the first coupon date.
E. The number of days in the coupon period.
N. The number of coupons payable between the settlement date and the redemption date. If this number contains a fraction, it is raised to the next whole number.

where:

Aj. The number of days from the beginning of the i-th, or last, quasi-coupon period within odd period.
DCj. The number of days from dated date (or issue date) to first quasi-coupon (j = 1) or number of days in quasi-coupon (i = 2,…, j = NC).
DSC. The number of days from the settlement to the next coupon date.
E. The number of days in the coupon period.
N. The number of coupons payable between the first real coupon date and redemption date. If this number contains a fraction, it is raised to the next whole number.
NC. The number of quasi-coupon periods that fit in odd period. If this number contains a fraction, it is raised to the next whole number.
NLj. Normal length in days of the full j-th, or last, quasi-coupon period within odd period.
Nq. The number of whole quasi-coupon periods between settlement date and first coupon..

Formula	Result	Description
=OddfPrice("11.11.2008", "01.03.2021", "15.10.2008", "01.03.2009", 0.1275, 0.1025, 200, 4, 3)	146.11 rub.	The price per $100 face value of securities for an odd first period on the following conditions: The security's settlement date is 11.11.2008 The security's maturity date is 01.03.2021 The security's issue date is 15.10.2008 The date of the first coupon payment on securities is 01.03.2009 The interest rate is 12.75 %. The annual income is 10.25 %. The security's redemption value is 200 The number of payments for coupons in a year is 4 (quarterly payments) The day calculation method - actual.
=OddfPrice(A1, A2, A3, A4, 0.0785, 0.0625, 100, 2, 1)	113.60 rub.	The price per $100 face value of securities for an odd first period on the following conditions: The security's settlement date is specified in the cell A1, value is 11.11.2008 The security's maturity date is specified in the cell A2, value is 01.03.2021. Securities issue date is specified in the cell A3, value is 15.10.2008 The date of the first coupon payment on securities is specified in the cell A4, value is 01.03.2009. The interest rate is 7.85 %. The annual income is 6.25 %. The security's redemption value is 100 The number of payments for coupons in a year is 2 (semi-annual payments) The day calculation method - American.

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