Daily DAX : Day 69 ODDFPRICE
The ODDFPRICE function in Power BI's Data Analysis Expressions (DAX) is used to calculate the price per $100 face value of a security that has an odd (irregular) first period. Here's a practical use case for this function:
Use Case: Pricing a Newly Issued Bond with an Irregular First Coupon
Scenario:
A financial institution issues a bond with the following characteristics:
Face Value: $1,000
Annual Coupon Rate: 5%
Settlement Date: March 15, 2023
First Coupon Date: September 15, 2023 (6 months from issuance)
Maturity Date: March 15, 2033
Issue Date: January 1, 2023 (This creates an odd first period since the first coupon payment is not aligned with typical coupon intervals)
Objective:
Calculate the price of the bond at the settlement date, considering the odd first period where the bond has already accrued interest from January 1 to March 15.
Using DAX in Power BI:
You would use the ODDFPRICE function with the following parameters:
ODDFPRICE(
DATE(2023, 3, 15), -- Settlement date
DATE(2023, 1, 1), -- Issue date
DATE(2023, 9, 15), -- First interest date
DATE(2033, 3, 15), -- Maturity date
0.05, -- Rate (5% annual coupon rate)
1000, -- Par value (face value of the bond)
0.04, -- Yield to maturity (assuming 4% for this example)
2, -- Frequency of coupon payments per year (semi-annual)
0 -- Basis (0 = US (NASD) 30/360)
)
Explanation:
Settlement Date: The date on which the bond is traded to the buyer.
Issue Date: The date when the bond was initially issued, leading to an odd first period.
First Interest Date: The date of the first coupon payment.
Maturity Date: When the bond matures.
Rate: The annual coupon rate of the bond.
Par Value: The face value of the bond.
Yield: The expected yield on the bond (used to back-calculate the price).
Frequency: How often coupons are paid per year.
Basis: The day count basis to use for calculations.
Outcome:
This function would return the price of the bond per $100 face value, taking into account the odd first period. This price reflects the bond's market value considering accrued interest since issuance, which is crucial for accurate financial reporting, trading decisions, or portfolio valuation in Power BI dashboards or reports.
ODDFPRICE(
ODDFPRICE( DATE(2023, 3, 15), -- Settlement date
DATE(2023, 1, 1), -- Issue date
DATE(2023, 9, 15), -- First interest date
DATE(2033, 3, 15), -- Maturity date
0.05, -- Rate (5% annual coupon rate)
1000, -- Par value (face value of the bond)
0.04, -- Yield to maturity (assuming 4% for this example)
2, -- Frequency of coupon payments per year (semi-annual)
0 -- Basis (0 = US (NASD) 30/360)
)DATE(2023, 3, 15), -- Settlement date
DATE(2023, 1, 1), -- Issue date
DATE(2023, 9, 15), -- First interest date
DATE(2033, 3, 15), -- Maturity date
0.05, -- Rate (5% annual coupon rate)
1000, -- Par value (face value of the bond)
0.04, -- Yield to maturity (assuming 4% for this example)
2, -- Frequency of coupon payments per year (semi-annual)
0 -- Basis (0 = US (NASD) 30/360)
)
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