Its calculates the price per $100 face value of a discounted security that uses anticipative interest (discount interest applied upfront).
Syntax
PRICEDISC(Settlement; Maturity; Disc; Repayment; [Basis])
Arguments
| Argument | Requirement | Description | Validation |
| Settlement | Required | Trade settlement date | Valid date ≤ Maturity |
| Maturity | Required | Security maturity date | Valid date ≥ Settlement |
| Disc | Required | Annual discount rate | > 0 |
| Repayment | Required | Redemption value per $100 face value | > 0 |
| [Basis] | Optional | Day count convention (0-4) | Default=0 |
Error Conditions
- #VALUE!: Invalid dates or non-numeric inputs
- #NUM!: Negative rates or invalid Basis
Key Features
- Uses anticipative interest model:
- Interest deducted upfront (disagio)
- Contrasts with standard arrears interest
- Common applications:
- Treasury bills
- Commercial paper
- Bankers’ acceptances
Calculation Method
Price = Repayment × (1 – Disc × DSM/DIM)
Where:
- DSM = Days from settlement to maturity
- DIM = Days in year per Basis convention
Examples
- German Treasury Bond
Terms:
- Face value: €500
- Settlement: 30-Aug-2010
- Maturity: 22-Aug-2011
- Discount: 0.46%
- Basis: 1 (actual/actual)
Calculation:
=PRICEDISC(« 30/8/2010″, »22/8/2011 »,0.46%,500,1)
Result: €497.75
Equivalent Yield Calculation:
=RECEIVED(« 30/8/2010″, »22/8/2011 »,497.75,500,1)
Returns: 0.46% (matches Bundesbank published rate)
Important Notes
- Day Count Conventions:
- Basis 0: US (NASD) 30/360
- Basis 1: Actual/actual
- Basis 2: Actual/360
- Basis 3: Actual/365
- Basis 4: European 30/360
- Financial Context:
- Primarily for short-term instruments (<1 year)
- Low-yield environments may show minimal price differences
- For precise institutional calculations, verify day count rules
- Complementary Functions:
- YIELDDISC(): Calculates equivalent yield
- RECEIVED(): Determines maturity amount