pricingMoneyMarketInstrUsingAOR {bondAnalyst}

Calculates Price of Money Market Instruments using Add-on Rate (AOR)

Description

Calculates Price of Money Market Instruments using Add-on Rate (AOR)

Usage

pricingMoneyMarketInstrUsingAOR(maturityVal, daysToMaturity, daysInYear, AOR)

Arguments

maturityVal

A number.

daysToMaturity

A number.

daysInYear

A number.

AOR

A number.

Details

Money market instruments are short-term debt securities. They range in time-to-maturity from overnight sale and repurchase agreements (repos) to one-year bank certificates of deposit. Money market instruments also include commercial paper, bankers⁠'⁠ acceptances, and time deposits based on such indexes as Libor or Euribor. Money market mutual funds are a major investor in such securities. These mutual funds can invest only in certain eligible money market securities. Bank certificates of deposit, repos, and such indexes as Libor and Euribor are quoted on an add-on rate basis (Adams & Smith, 2019). In light of the information given, the method pricingMoneyMarketInstrUsingAOR() is developed to compute the Price of Money Market Instruments using Add-on Rate (AOR) for the values passed to its four arguments. Here maturityVal is maturity value of the Money Market Instrument, daysToMaturity is number of days till the maturity, and daysInYear is taken to be 365, and AOR is Add-on Rate.

Value

Input values to four arguments maturityVal ,daysToMaturity, daysInYear and AOR.

Author(s)

MaheshP Kumar, [e-mail]

References

Adams,J.F. & Smith,D.J.(2019). Introduction to fixed-income valuation. In CFA Program Curriculum 2020 Level I Volumes 1-6. (Vol. 5, pp. 107-151). Wiley Professional Development (P&T). ISBN 9781119593577, https://bookshelf.vitalsource.com/books/9781119593577

Examples

pricingMoneyMarketInstrUsingAOR(maturityVal=10216000,daysToMaturity=180,daysInYear=365,AOR=0.0438)
pricingMoneyMarketInstrUsingAOR(maturityVal=10216000,daysToMaturity=135,daysInYear=365,AOR=0.0417)