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prmat

Price with interest at maturity

Syntax

[Price,AccruInterest] = prmat(Settle,Maturity,Issue,Face,CouponRate,Yield,Basis)

Arguments

Settle

Enter as serial date number, date character vector, or datetime array. Settle must be earlier than Maturity.

Maturity

Enter as serial date number, date character vector, or datetime arrays.

Issue

Enter as serial date number, date character vector, or datetime array.

Face

Redemption (par, face) value.

CouponRate

Enter as decimal fraction.

Yield

Annual yield. Enter as decimal fraction.

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/365 (ISDA)

  • 13 = BUS/252

For more information, see basis.

Description

[Price,AccruInterest] = prmat(Settle,Maturity,Issue,Face,CouponRate,Yield,Basis) returns the price and accrued interest of a security that pays interest at maturity. This function also applies to zero-coupon bonds or pure discount securities by setting CouponRate = 0.

Examples

collapse all

This example shows how to compute the price and accrued interest of a security that pays interest at maturity.

Settle = '02/07/2002';
Maturity = '04/13/2002';
Issue = '10/11/2001';
Face = 100;
CouponRate = 0.0608;
Yield = 0.0608;
Basis = 1;

[Price, AccruInterest] = prmat(Settle, Maturity, Issue, Face,... 
CouponRate, Yield, Basis)
Price = 99.9784
AccruInterest = 1.9591

This example shows how to use datetime inputs compute the price and accrued interest of a security that pays interest at maturity.

Settle = '7-Feb-2002';
Maturity = '13-Apr-2002';
Issue = '11-Oct-2001';
Face = 100;
CouponRate = 0.0608;
Yield = 0.0608;
Basis = 1;

[Price, AccruInterest] = prmat(datetime(Settle,'Locale','en_US'), datetime(Maturity,'Locale','en_US'), datetime(Issue,'Locale','en_US'),...
Face,CouponRate, Yield, Basis)
Price = 99.9784
AccruInterest = 1.9591

References

Mayle. Standard Securities Calculation Methods. Volumes I-II, 3rd edition. Formula 4.

Introduced before R2006a

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