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

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

See Also

acrudisc, fvdisc, prdisc, ylddisc

  


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