Documentation

This is machine translation

Translated by
Mouseover text to see original. Click the button below to return to the English verison of the page.

accrfrac

Fraction of coupon period before settlement

Syntax

``Fraction = accrfrac(Settle,Maturity)``
``Fraction = accrfrac(___,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate)``

Description

example

````Fraction = accrfrac(Settle,Maturity)` returns the fraction of the coupon period before settlement. Use `accrfrac` for computing accrued interest. `accrfrac` calculates accrued interest for bonds with regular or odd first or last coupon periods.Required input arguments must be number of bonds, `NUMBONDS`-by-`1` or `1`-by-`NUMBONDS`, conforming vectors or scalars.```

example

````Fraction = accrfrac(___,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate)` returns the fraction of the coupon period before settlement with optional inputs.Optional input arguments must be either `NUMBONDS`-by-`1` or `1`-by-`NUMBONDS` conforming vectors, scalars, or empty matrices.```

Examples

collapse all

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 ```

This example shows how to find the accrued interest for a given bond's data using a datetime array.

`Fraction = accrfrac(datetime('14-Mar-1997', 'Locale', 'en_US'), ['30-Nov-2000'; '31-Dec-2000'; '31-Jan-2001'], 2, 0,1)`
```Fraction = 0.5714 0.4033 0.2320 ```

Input Arguments

collapse all

Settlement date, specified as a vector of serial date number, date character vector, or datetime array. `Settle` must be earlier than `Maturity`.

Data Types: `double` | `char` | `datetime`

Maturity date, specified as a vector of serial date numbers, date character vectors, or datetime arrays.

Data Types: `double` | `char` | `datetime`

Coupons per year of the bond, specified as a vector of positive integers from the set `[1,2,3,4,6,12]`.

Data Types: `single` | `double`

Day-count basis of the instrument, specified as an integer with a value of `0` through `13` or a `N`-by-`1` vector of integers with values of `0` through `13`.

• 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/365 (ISDA)

• 13 = BUS/252

Data Types: `single` | `double`

End-of-month rule flag for month having 30 or fewer days, specified as a nonnegative integer [`0`, `1`] using a `N`-by-`1` vector of values. 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’s coupon payment date is always the same numerical day of the month.

• `1` = Set rule on, meaning that a bond’s coupon payment date is always the last actual day of the month.

Data Types: `logical`

Bond issue date, specified as a serial date number, date character vector, or datetime array.

Data Types: `double` | `char` | `datetime`

Date when a bond makes its first coupon payment, specified as a serial date number, date character vector, or datetime array.

`FirstCouponDate` is used when a bond has an irregular first coupon period. When `FirstCouponDate` and `LastCouponDate` are both specified, `FirstCouponDate` takes precedence in determining the coupon payment structure. If you do not specify a `FirstCouponDate`, the cash flow payment dates are determined from other inputs.

Data Types: `double` | `char` | `datetime`

Last coupon date of a bond before maturity date, specified as a serial date number, date character vector, or datetime array.

`LastCouponDate` is used when a 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. If you do not specify a `LastCouponDate`, the cash flow payment dates are determined from other inputs.

Data Types: `double` | `char` | `datetime`

Output Arguments

collapse all

Fraction of the coupon period before settlement, returned as an `NUMBONDS`-by-`1` vector.