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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

See Also

cfamounts | cfdates | cpncount | cpndaten | cpndatenq | cpndatep | cpndatepq | cpndaysn | cpndaysp | cpnpersz

  


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