acrudisc

Accrued interest of discount security paying at maturity

Syntax

AccruInterest = acrudisc(Settle,Maturity,Face,Discount)

AccruInterest = acrudisc(___,Period,Basis)

Description

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

AccruInterest = acrudisc(___,Period,Basis) adds optional arguments for 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 R2006a

R2022b: 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.