IMSL Mathematics Reference Guide > Special Functions > DISCOUNT_RT Function (PV-WAVE Advantage)
  

DISCOUNT_RT Function (PV-WAVE Advantage)
Evaluates the interest rate implied when a security is sold for less than its value at maturity in lieu of interest payments.
Usage
result = DISCOUNT_RT(settlement, maturity, price, redemption, basis)
Input Parameters
settlementThe date on which payment is made to settle a trade. For a more detailed discussion on dates see Chapter 8, Working with Date/Time Data in the PV‑WAVE User’s Guide.
maturityThe date on which the bond comes due, and principal and accrued interest are paid. For a more detailed discussion on dates see Chapter 8, Working with Date/Time Data in the PV‑WAVE User’s Guide.
pricePrice per $100 face value of the security.
redemptionRedemption value per $100 face value of the security.
basisThe method for computing the number of days between two dates. It should be 0, 1, 2, 3, or 4.
*0Actual/Actual
*1US (NASD) 30/360
*2Actual/360
*3Actual/365
*4European 30/360
Returned Value
resultThe discount rate for a security. If no result can be computed, NaN is returned.
Input Keywords
DoubleIf present and nonzero, double precision is used.
Discussion
Function DISCOUNT_RT computes the discount rate for a security. The discount rate is the interest rate implied when a security is sold for less than its value at maturity in lieu of interest payments.
It is computed using the following:
In the equation above, B represents the number of days in a year based on the annual basis and DSM represents the number of days starting with the settlement date and ending with the maturity date.
Example
In this example, DISCOUNT_RT computes the discount rate of a security which is selling at $97.975 with the settlement date of February 15, 2000, and maturity date of June 10, 2000, using the Actual/365 day count method.
settlement = VAR_TO_DT(2000, 2, 15)
maturity = VAR_TO_DT(2000, 6, 10)
price = 97.975
redemption = 100.
basis = 3
PRINT, DISCOUNT_RT(settlement, maturity, price, $
   redemption, basis)
; PV-WAVE prints: 0.0637177

Version 2017.0
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