acrudisc
Accrued interest of discount security paying at maturity
Syntax
Description
returns the accrued interest of a discount security paid at maturity.AccruInterest
= acrudisc(Settle
,Maturity
,Face
,Discount
)
adds optional arguments for AccruInterest
= acrudisc(___,Period
,Basis
)Period
and
Basis
.
Examples
Find Accrued Interest of a Discount Security Paid at Maturity
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
Settle
— Settlement date of security
datetime array | string array | date character vector
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
— Maturity date of security
datetime array | string array | date character vector
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
Face
— Redemption value of security
numeric
Redemption value (par value) of the security, specified as a scalar or
a NINST
-by-1
vector.
Data Types: double
Discount
— Discount rate of security
decimal fraction
Discount rate of the security, specified as a scalar or a
NINST
-by-1
vector of decimal
fraction values.
Data Types: double
Period
— Number of coupon payments per year
2
(default) | numeric with values 0
, 1
,
2
, 3
, 4
,
6
or 12
(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
Basis
— Day-count basis
0
(actual/actual) (default) | integers of the set [0...13]
| vector of integers of the set [0...13]
(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
For more information, see Basis.
Data Types: double
Output Arguments
AccruInterest
— Accrued interest
numeric
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 R2006aR2022b: Serial date numbers not recommended
Although acrudisc
supports serial date numbers,
datetime
values are recommended instead. The
datetime
data type provides flexible date and time
formats, storage out to nanosecond precision, and properties to account for time
zones and daylight saving time.
To convert serial date numbers or text to datetime
values, use the datetime
function. For example:
t = datetime(738427.656845093,"ConvertFrom","datenum"); y = year(t)
y = 2021
There are no plans to remove support for serial date number inputs.
See Also
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