accrfrac - Fraction of coupon period before settlement

Syntax

Fraction = accrfrac(Settle, Maturity) Fraction = accrfrac(Settle, Maturity, Period, Basis, EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate, StartDate)

Description

Fraction = accrfrac(Settle, Maturity) returns the fraction of the coupon period before settlement.

Fraction = accrfrac(Settle, Maturity, Period, Basis, EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate,StartDate) returns the fraction of the coupon period before settlement with optional inputs.

Use accrfrac for computing accrued interest.

Inputs

`Settle`	Settlement date. A vector of serial date numbers or date strings. `Settle` must be earlier than or equal to `Maturity`.
`Maturity`	Maturity date. A vector of serial date numbers or date strings.
`Period`	Coupons per year of the bond. A vector of integers. Values are 0, 1, 2, 3, 4, 6, and 12. Default: 2
`Basis`	Day-count basis of the instrument. A vector of integers. 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 (ISMA) 9 = actual/360 (ISMA) 10 = actual/365 (ISMA) 11 = 30/360E (ISMA) 12 = actual/365 (ISDA) 13 = BUS/252 Default: 0
`EndMonthRule`	End-of-month rule. A vector. This rule applies only when `Maturity` is an end-of-month date for a month having 30 or fewer days. 0 = ignore rule, meaning that a bond coupon payment date is always the same numerical day of the month. 1 = set rule on, meaning that a bond coupon payment date is always the last actual day of the month. Default: 1
`IssueDate`	Issue date for a bond.
`FirstCouponDate`	First actual coupon date.
`LastCouponDate`	Last actual coupon date.
`StartDate`	Future implementation.

Outputs

Fraction

The cash flow matrix of a portfolio of bonds. Each row represents the cash flow vector of a single bond. Each element in a column represents a specific cash flow for that bond.

Examples

Find the accrued interest for given bond data:

Settle = '14-Mar-1997';
Maturity = ['30-Nov-2000'
            '31-Dec-2000'
            '31-Jan-2001'];
Period = 2;
Basis = 0;
EndMonthRule = 1;

Fraction = accrfrac(Settle, Maturity, Period, Basis,... 
EndMonthRule)

This returns:

Fraction =
    0.5714
    0.4033
    0.2320