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('05/01/1992',  '07/15/1992', ...
                100,  0.1,  2,  0)

AccruInterest = 2.0604

Find Accrued Interest of a Discount Security Paid at Maturity Using datetime Inputs

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

AccruInterest = acrudisc(datetime('1-May-1992','Locale','en_US'),datetime('15-Jul-1992','Locale','en_US'),...
100,  0.1,  2,  0)

AccruInterest = 2.0604

Input Arguments

Settle — Settlement date of security

serial date number | date character vector | datetime

Settlement date of the security, specified as a scalar or a NINST-by-1 vector of serial date numbers, date character vectors, or datetime arrays. The Settle date must be before the Maturity date.

Data Types: double | char | datetime

Maturity — Maturity date of security

serial date number | date character vector | datetime

Maturity date of the security, specified as a scalar or a NINST-by-1 vector of serial date numbers, date character vectors, or datetime arrays.

Data Types: double | char | 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.