prmat

Price with interest at maturity

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Syntax

[Price,AccruInterest] = prmat(Settle,Maturity,Issue,Face,CouponRateYield)
[Price,AccruInterest] = prmat(___,Basis)

Description

[Price,AccruInterest] = prmat(Settle,Maturity,Issue,Face,CouponRateYield) returns the price and accrued interest of a security that pays interest at maturity. This function also applies to zero coupon bonds or pure discount securities by setting CouponRate = 0.

example

[Price,AccruInterest] = prmat(___,Basis) adds an optional argument for Basis.

example

Examples

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Open Live Script

This example shows how to compute the price and accrued interest of a security that pays interest at maturity.

Settle = '02/07/2002';
Maturity = '04/13/2002';
Issue = '10/11/2001';
Face = 100;
CouponRate = 0.0608;
Yield = 0.0608;
Basis = 1;

[Price, AccruInterest] = prmat(Settle, Maturity, Issue, Face,... 
CouponRate, Yield, Basis)
Price = 
99.9784

AccruInterest = 
1.9591
Open Live Script

This example shows how to use datetime inputs compute the price and accrued interest of a security that pays interest at maturity. 

Settle = datetime(2002,2,7);
Maturity = datetime(2002,4,13);
Issue = datetime(2001,10,11);
Face = 100;
CouponRate = 0.0608;
Yield = 0.0608;
Basis = 1;

[Price, AccruInterest] = prmat(Settle, Maturity, Issue, Face, CouponRate, Yield, Basis)
Price = 
99.9784

AccruInterest = 
1.9591

Input Arguments

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Settlement date of the security, specified as a scalar datetime, string, or date character vector. The Settle date must be before the Maturity date.

To support existing code, prmat 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 datetime, string, or date character vector.

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

Data Types: char | datetime | string

Issue date of the security, specified as a scalar datetime, string, or date character vector.

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

Data Types: char | string | datetime

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

Data Types: double

Coupon rate, specified as a decimal fraction value.

Data Types: double

Annual yield, specified as a decimal fraction value.

Data Types: double

(Optional) Day-count basis of the security, specified using the following values:

  • 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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Security price, returned as a numeric value.

Accrued interest for security, returned as a numeric value.

References

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

Version History

Introduced before R2006a

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See Also

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