Financial Toolbox™

discrate - Bank discount rate of money market security

Syntax

DiscRate = discrate(Settle, Maturity, Face, Price, Basis)

Arguments

`Settle`	Enter as serial date numbers or date strings. `Settle` must be earlier than or equal to `Maturity`.
`Maturity`	Enter as serial date numbers or date strings.
`Face`	Redemption (par, face) value.
`Price`	Price of the security.
`Basis`	(Optional) Day-count basis of the instrument. A vector of integers. 0 = actual/actual (default) 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)

Description

DiscRate = discrate(Settle, Maturity, Face, Price, Basis) finds the bank discount rate of a security. The bank discount rate normalizes by the face value of the security (for example, U. S. Treasury Bills) and understates the true yield earned by investors.

Examples

DiscRate = discrate('12-jan-2000', '25-jun-2000', 100, 97.74, 0)

returns

DiscRate =

    0.0501

a discount rate of 5.01%.

References