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oMMdisc_Price( ) - Discount MM Instrument Price Function

Component

Resolution - Bond Pricing

 

 

Function Definition

oMMdisc_Price(Yield, YieldType, SettlementDate, MaturityDate, Principal, AccrualConvention, OutputFlag)

Returns the instrument's fair value, dollar discount, days to maturity, as well as the risk statistics.

 

 

Bond Types

Discount money market instruments.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

Yield

 

The redemption yield for the instrument.

 

Double

Yield >= 0

YieldType

 

Flags whether the Yield parameter contains a yield or a discount rate.

 

Enumerated Constant

 

1 = Yield
2 = Discount Rate

SettlementDate

 

Valuation date of the instrument.

 

Date

 

SetDate < MatDate

MaturityDate

 

Maturity date of the instrument.

 

Date

 

MatDate > SetDate

Principal

 

Redemption value for the instrument paid at maturity.

Double

 

Principal >= 0

AccrualConvention

 

Day basis for determining accrued interest and length of discounting period.

 

Enumerated Constant

 

1 - Act/360
2 - Act/365
3 - Act/Act

OutputFlag

 

Flags the output to be returned from the function. Entering a 0 will output: Fair Value, Dollar Discount, Days to Maturity, Macaulay Duration, Modified Duration, Convexity, and Price Value of a Basis Point. Entering a 4 will output: Macaulay Duration, Modified Duration, Convexity, and Price Value of a Basis Point.

 

Enumerated Constant

 

0 - All seven outputs
1 - Fair Value
2 - Dollar Discount
3 - Days to Maturity
4 - Risk Statistics
5 - Mac Duration
6 - Mod Duration
7 - Convexity only
8 - PVBP only

 

 

 

 

 

 

 

See Also

Parameter Types

Money Market Function Parameters

oMMcpn_Price( ) - Coupon Bearing MM Instrument Price Function

oMMdisc_Yield( ) - Discount MM Instrument Yield Function

oBond3_Price( ) - Generic Bond Price Function 3

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