- sd - Settlement date of the security.
- md - Maturity date of the security.
- id - Issue date of the security.
- fd - First coupon date.
- rate - Annual coupon rate of security.
- yld - Annual required rate of return.
- redem - Redemption value per $100 face value.
- freq - Coupon payments per year (annual = 1, semiannual = 2; quarterly = 4).
- basis - [optional] Day count basis (see below, default =0).
Some bonds have an irregular first or last period, so interest payments don't fit a normal schedule. To calculate the price of a bond with an irregular first period, you can use the ODDFPRICE function. The ODDFPRICE Function returns the price per $100 face value of a security having an irregular (short or long) first period.
Assume we need to calculate the price per $100 face value of a bond with a first coupon date of 15-Feb-2019. The bond was issued on 1-Dec-2018, matures on 15-Feb-2022, and pays a coupon rate of 5% with a required return of 6%. Payments are semi-annual, the day count basis is US 30/360, and the redemption value is $100. In the example shown, the formula in F5 is:
With these inputs, the ODDFPRICE function returns 97.26, with currency number format applied.
In Excel, dates are serial numbers. Generally, the best way to enter valid dates is to use cell references, as shown in the example. To enter valid dates directly inside a function, you can use the DATE function. To illustrate, the formula below has all values hardcoded. The DATE function is used to supply each of the four required dates:
The basis argument controls how days are counted. The ODDFPRICE function allows 5 options (0-4) and defaults to zero, which specifies US 30/360 basis. This article on Wikipedia provides a detailed explanation of available conventions.
|0 or omitted||US (NASD) 30/360|
- In Excel, dates are serial numbers.
- All dates, plus frequency and basis, are truncated to integers.
- If dates are invalid (i.e. not actually dates) ODDFPRICE returns #VALUE!
- ODDFPRICE returns #NUM when:
- (maturity > first_coupon > settlement > issue) is not true
- Maturity does not follow frequency interval w.r.t last coupon date
- Basis is out-of-range