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acrudisc

Accrued interest of discount security paying at maturity

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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.

example

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

example

Examples

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Open Live Script

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

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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 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

Redemption value (par value) of the security, specified as a scalar or a NINST-by-1 vector.

Data Types: double

Discount rate of the security, specified as a scalar or a NINST-by-1 vector of decimal fraction values.

Data Types: double

(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

(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

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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

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See Also

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