Returns the price, per $100 face value, of a security that pays periodic interest.

Namespace: Imsl.Finance
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
public static double Price(
	DateTime settlement,
	DateTime maturity,
	double rate,
	double yield,
	double redemption,
	Bond..::.Frequency frequency,
	DayCountBasis basis
)
Visual Basic (Declaration)
Public Shared Function Price ( _
	settlement As DateTime, _
	maturity As DateTime, _
	rate As Double, _
	yield As Double, _
	redemption As Double, _
	frequency As Bond..::.Frequency, _
	basis As DayCountBasis _
) As Double
Visual C++
public:
static double Price(
	DateTime settlement, 
	DateTime maturity, 
	double rate, 
	double yield, 
	double redemption, 
	Bond..::.Frequency frequency, 
	DayCountBasis^ basis
)

Parameters

settlement
Type: System..::.DateTime
The DateTime settlement date of the security.
maturity
Type: System..::.DateTime
The DateTime maturity date of the security.
rate
Type: System..::.Double
A double which specifies the security's annual coupon rate.
yield
Type: System..::.Double
A double which specifies the security's annual yield.
redemption
Type: System..::.Double
A double which specifies the security's redemption value per $100 face value.
frequency
Type: Imsl.Finance..::.Bond..::.Frequency
A int which specifies the number of coupon payments per year (1 for annual, 2 for semiannual, 4 for quarterly).
basis
Type: Imsl.Finance..::.DayCountBasis
A DayCountBasis object which contains the type of day count basis to use.

Return Value

A double which specifies the price per $100 face value of a security that pays periodic interest.

Remarks

It is computed using the following:

{{{\it redemption} \over {\left( {1 + {{\it yield} \over {\it frequency}}} \right)^{\left( {N - 1 + {{\it DSC} \over E}} \right)} }}} + {\sum\limits_{k = 1}^N {{{100 \times {{\it rate} \over {\it frequency}}} \over {\left( {1 + {{\it yield} \over {\it frequency}}} \right)^{\left( {k - 1 + {{\it DSC} \over E}} \right)} }}} } - \left( {100 \times {{\it rate} \over {\it frequency}} \times {A \over E}} \right)
In the above equation, {\it DSC} represents the number of days in the period starting with the settlement date and ending with the next coupon date. E represents the number of days within the coupon Frequency. N represents the number of coupons payable in the timeframe from the settlement date to the redemption date. A represents the number of days in the timeframe starting with the beginning of coupon period and ending with the settlement date.

See Also