PRICE

PRICE

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

If this function is not available, run the Setup program to install the Analysis ToolPak. After you install the Analysis ToolPak, you must enable it by using the Add-Ins command on the Tools menu.

Syntax

PRICE(settlement,maturity,rate,yld,redemption,frequency,basis)

Settlement   is the security's settlement date. The security settlement date is the date after the issue date when the security is traded to the buyer.

Maturity   is the security's maturity date. The maturity date is the date when the security expires.

Rate   is the security's annual coupon rate.

Yld   is the security's annual yield.

Redemption   is the security's redemption value per $100 face value.

Frequency   is the number of coupon payments per year. For annual payments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4.

Basis   is the type of day count basis to use.

Basis

Day count basis

0 or omitted

US (NASD) 30/360

1

Actual/actual

2

Actual/360

3

Actual/365

4

European 30/360


Remarks

  • The settlement date is the date a buyer purchases a coupon, such as a bond. The maturity date is the date when a coupon expires. For example, suppose a 30-year bond is issued on January 1, 1996, and is purchased by a buyer six months later. The issue date would be January 1, 1996, the settlement date would be July 1, 1996, and the maturity date would be January 1, 2026, which is 30 years after the January 1, 1996, issue date.
  • Settlement, maturity, frequency, and basis are truncated to integers.
  • If any argument is nonnumeric, PRICE returns the #VALUE! error value.
  • If settlement or maturity is not a valid date, PRICE returns the #NUM! error value.
  • If yld < 0 or if rate < 0, PRICE returns the #NUM! error value.
  • If redemption £ 0, PRICE returns the #NUM! error value.
  • If frequency is any number other than 1, 2, or 4, PRICE returns the #NUM! error value.
  • If basis < 0 or if basis > 4, PRICE returns the #NUM! error value.
  • If settlement ³ maturity, PRICE returns the #NUM! error value.
  • PRICE is calculated as follows:

    Where:

    DSC = number of days from settlement to next coupon date.

    E = number of days in coupon period in which the settlement date falls.

    N = number of coupons payable between settlement date and redemption date.

    A = number of days from beginning of coupon period to settlement date.

Example

A bond has the following terms:

February 15, 1991, settlement date
November 15, 1999, maturity date
5.75 percent semiannual coupon
6.50 percent yield
$100 redemption value
Frequency is semiannual
30/360 basis

The bond price (in the 1900 date system) is:

PRICE("2/15/91","11/15/99",0.0575,0.065,100,2,0) equals 95.04287