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DiscRate = discrate(Settle, Maturity, Face, Price, Basis)
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.
|
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.
DiscRate = discrate('12-jan-2000', '25-jun-2000', 100, 97.74, 0)
returns
DiscRate =
0.0501
a discount rate of 5.01%.
Mayle, Standard Securities Calculation Methods, Volumes I-II, 3rd edition. Formula 1.
acrudisc, fvdisc, prdisc, ylddisc
![]() | disc2zero | ecmlsrmle | ![]() |
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