acrudisc

Accrued interest of discount security paying at maturity

Syntax

``AccruInterest = acrudisc(Settle,Maturity,Face,Discount)``
``AccruInterest = acrudisc(___,Period,Basis)``

Description

example

````AccruInterest = acrudisc(Settle,Maturity,Face,Discount)` returns the accrued interest of a discount security paid at maturity.```

example

````AccruInterest = acrudisc(___,Period,Basis)` adds optional arguments for `Period` and `Basis`. ```

Examples

collapse all

This example shows how to find the accrued interest of a discount security paid at maturity.

`AccruInterest = acrudisc(datetime(1992,5,1), datetime(1992,7,15), 100, 0.1, 2, 0)`
```AccruInterest = 2.0604 ```

Input Arguments

collapse all

Settlement date of the security, specified as a scalar or a `NINST`-by-`1` vector using a datetime array, string array, or date character vectors. The `Settle` date must be before the `Maturity` date.

To support existing code, `acrudisc` also accepts serial date numbers as inputs, but they are not recommended.

Data Types: `char` | `string` | `datetime`

Maturity date of the security, specified as a scalar or a `NINST`-by-`1` vector using a datetime array, string array, or date character vectors.

To support existing code, `acrudisc` also accepts serial date numbers as inputs, but they are not recommended.

Data Types: `char` | `string` | `datetime`

Redemption value (par value) of the security, specified as a scalar or a `NINST`-by-`1` vector.

Data Types: `double`

Discount rate of the security, specified as a scalar or a `NINST`-by-`1` vector of decimal fraction values.

Data Types: `double`

(Optional) Number of coupon payments per year for security, specified as scalar or a `NINST`-by-`1` vector using the values: `0`, `1`, `2`, `3`, `4`, `6`, or `12`.

Data Types: `double`

(Optional) Day-count basis for security, specified as a scalar or a `NINST`-by-`1` vector. Values are:

• 0 = actual/actual

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (PSA)

• 5 = 30/360 (ISDA)

• 6 = 30/360 (European)

• 7 = actual/365 (Japanese)

• 8 = actual/actual (ICMA)

• 9 = actual/360 (ICMA)

• 10 = actual/365 (ICMA)

• 11 = 30/360E (ICMA)

• 12 = actual/365 (ISDA)

• 13 = BUS/252

Data Types: `double`

Output Arguments

collapse all

Accrued interest, returned as a scalar or a `NINST`-by-`1` vector.

References

[1] Mayle, J. Standard Securities Calculation Methods. Volumes I-II, 3rd edition. Formula D.

Version History

Introduced before R2006a

expand all