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. accrfrac calculates accrued interest for bonds with regular or odd first or last coupon periods.

Input Arguments

Settle

Settlement date. A vector of serial date numbers or date strings. Settle must be earlier than 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 (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (BMA)

  • 5 = 30/360 (ISDA)

  • 6 = 30/360 (European)

  • 7 = actual/365 (Japanese)

  • 8 = actual/actual (ICMA)

  • 9 = actual/360 (ICMA)

  • 10 = actual/365 (ICMA)

  • 11 = 30/360E (ICMA)

  • 12 = actual/actual (ISDA)

  • 13 = BUS/252

For more information, see basis.

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

Date when a bond makes its first coupon payment; used when bond has an irregular first coupon period. When FirstCouponDate and LastCouponDate are both specified, FirstCouponDate takes precedence in determining the coupon payment structure.

Default: If you do not specify a FirstCouponDate, the cash flow payment dates are determined from other inputs.

LastCouponDate

Last coupon date of a bond before the maturity date; used when bond has an irregular last coupon period. In the absence of a specified FirstCouponDate, a specified LastCouponDate determines the coupon structure of the bond. The coupon structure of a bond is truncated at the LastCouponDate, regardless of where it falls, and is followed only by the bond's maturity cash flow date.

Default: If you do not specify a LastCouponDate, the cash flow payment dates are determined from other inputs.

StartDate

Future implementation.

Output Arguments

Fraction

NBONDS-by-1 vector of accrued interest fractions.

Examples

expand all

Find Accrued Interest for a Bond

This example shows how to 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)
Fraction =

    0.5714
    0.4033
    0.2320

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