Price of a discount security on a bank discount basis formula

Tags: interest rate instruments money market instruments pricing and analysis

Description of the Price of a discount security on a bank discount basis formula

Formula for the calculation of the price of a discount security on a bank discount basis

C_{v} = C_{m} - (C_{m} \cdot r \cdot \frac{n b j_{v d \to m d}}{n b j_{b a s e}})

C_{m}

Redeemed capital (generally par)

n b j_{b a s e}

Number of days per year (360, 365 or 366 depending on )

n b j_{v m}

Number of days between value date and maturity date

r

Yield