acrudisc

Accrued interest of discount security paying at maturity

Syntax

AccruInterest = acrudisc(Settle, Maturity, Face, Discount, Period,
Basis)

Arguments

Settle

Enter as serial date number or date string. Settle must be earlier than Maturity.

Maturity

Enter as serial date number or date string.

Face

Redemption (par, face) value.

Discount

Discount rate of the security. Enter as decimal fraction.

Period

(Optional) Coupons per year of the bond. A vector of integers. Allowed values are 0, 1, 2 (default), 3, 4, 6, and 12.

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 (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.

Description

AccruInterest = acrudisc(Settle, Maturity, Face, Discount, Period, Basis) returns the accrued interest of a discount security paid at maturity.

Examples

expand all

Find Accrued Interest of a Discount Security Paid at Maturity

This example shows how to find the accrued interest of a discount security paid at maturity.

AccruInterest = acrudisc('05/01/1992',  '07/15/1992', ...
                100,  0.1,  2,  0)
AccruInterest =

    2.0604

References

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

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