Bond.Pricedisc Method

BondPricedisc Method

Returns the price of a discount bond given the discount rate.

Namespace: Imsl.Finance
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

public static double Pricedisc(
	DateTime settlement,
	DateTime maturity,
	double rate,
	double redemption,
	DayCountBasis basis
)

Public Shared Function Pricedisc ( 
	settlement As DateTime,
	maturity As DateTime,
	rate As Double,
	redemption As Double,
	basis As DayCountBasis
) As Double

public:
static double Pricedisc(
	DateTime settlement, 
	DateTime maturity, 
	double rate, 
	double redemption, 
	DayCountBasis^ basis
)

static member Pricedisc : 
        settlement : DateTime * 
        maturity : DateTime * 
        rate : float * 
        redemption : float * 
        basis : DayCountBasis -> float

Parameters

settlement: Type: SystemDateTime
The DateTime settlement date of the security.
maturity: Type: SystemDateTime
The DateTime maturity date of the security.
rate: Type: SystemDouble
A double which specifies the security's discount rate.
redemption: Type: SystemDouble
A double which specifies the security's redemption value per $100 face value.
basis: Type: Imsl.FinanceDayCountBasis
A DayCountBasis object which contains the type of day count basis to use.

Return Value

Type: Double
A double which specifies the price per $100 face value of a discounted security.

Remarks

It is computed using the following:

${\it redemption} - {\it rate} \times {\it redemption} \times {{\it DSM} \over B}$

In the equation above, ${\it DSM}$ represents the number of days starting at the settlement date and ending with the maturity date.

represents the number of days in a year based on the annual basis.

Reference

Bond Class

Imsl.Finance Namespace

Other Resources

Example