Price of a discount security formula
Description of the Price of a discount security formula
Formula for the calculation of the price of a discount security like Treasury bills, commercial papers or certificates of deposit.
Formula
\[ P = \frac{100}{\left (1+r \cdot \frac {nbj_{vd \to md}}{nbj_{base}}\right )} \ \]
Symbols
\(nbj_{base}\ \)
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