IFinance.Disc

Syntax

Disc(Settlement: DateTime; Maturity: DateTime; NominalCost: Double; Redemption: Double; [Basis: Integer = 0]): Double;

Parameters

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

Optional parameter.

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 that depends on the selected Basis argument value.
DSM. The number of days between the Settlement and Maturity dates.

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.