Price of a discount security on a bank discount basis formula
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
Formula
\[ C_{v} = C_{m} - ( C_{m} \cdot r \cdot \frac{nbj_{vd \to md}}{nbj_{base}}) \ \]
Symbols
\(C_{m}\ \)
Redeemed capital (generally par)
\(nbj_{base}\ \)
Number of days per year (360, 365 or 366 depending on day-count convention)
\(nbj_{vm}\ \)
Number of days between value date and maturity date
\(r\ \)
Yield