discrate

Bank discount rate of security

Syntax

DiscRate = discrate(Settle,Maturity,Face,Price)

DiscRate = discrate(___,Basis)

Description

DiscRate = discrate(Settle,Maturity,Face,Price)computes the bank discount rate of a security. The bank discount rate normalizes by the face value of the security (for example, U. S. Treasury Bills) and understates the true yield earned by investors.

DiscRate = discrate(___,Basis) adds an optional argument for Basis.

Examples

Compute the Bank Discount Rate of a Security

This example shows how to find the bank discount rate of a security.

DiscRate = discrate(datetime(2000,1,12),datetime(2000,6,25), 100, 97.74, 0) 

DiscRate = 
0.0501

Input Arguments

Settle — Settlement date

datetime scalar | string scalar | date character vector

Settlement date, specified as a scalar datetime, string, or date character vector.

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

Data Types: datetime | string | char

Maturity — Maturity date

datetime scalar | string scalar | date character vector

Maturity date, specified as scalar datetime, string, or date character vector.

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

Data Types: char | string | datetime

Face — Redemption (par, face) value

numeric

Redemption (par, face) value, specified as a scalar numeric value.

Data Types: double

Price — Security price

numeric

Security price, specified as a scalar numeric value.

Data Types: double

Basis — Day-count basis of the instrument

0 (actual/actual) (default) | integer with value of 0 to 13

(Optional) Day-count basis of the instrument, specified as a scalar integer.

• 0 = actual/actual (default)

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (BMA)

• 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

DiscRate — Discount rate of security

decimal

Discount rate of security, returned as a decimal.

References

[1] Mayle. "Standard Securities Calculation Methods." Volumes I-II, 3rd edition. Formula 2.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although discrate 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.