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('12-jan-2000', '25-jun-2000', 100, 97.74, 0)

DiscRate = 0.0501

Compute the Bank Discount Rate of a Security Using datetime Inputs

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

DiscRate = discrate(datetime('12-jan-2000','Locale','en_US'), datetime('25-jun-2000','Locale','en_US'), 100, 97.74, 0)

DiscRate = 0.0501

Input Arguments

Settle — Settlement date

serial date number | date character vector | datetime

Settlement date, specified as serial date numbers, date character vectors, or datetime arrays.

Data Types: double | datetime | char

Maturity — Maturity date

serial date number | date character vector | datetime

Maturity date, specified as serial date number, date character vector, or datetime array.

Data Types: double | char | datetime

Face — Redemption (par, face) value

numeric

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

Data Types: double

Price — Security price

numeric

Security price, specified as a 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 vector of integers.

• 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.