Documentation

acrubond

Accrued interest of security with periodic interest payments

Syntax

AccruInterest = acrubond(IssueDate, Settle, FirstCouponDate, Face,
CouponRate, Period, Basis)

Arguments

IssueDate

Enter as serial date number or date string.

Settle

Enter as serial date number or date string.

FirstCouponDate

Enter as serial date number or date string.

Face

Redemption (par, face) value.

CouponRate

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 = acrubond(IssueDate, Settle, FirstCouponDate, Face, CouponRate, Period, Basis) returns the accrued interest for a security with periodic interest payments. This function computes the accrued interest for securities with standard, short, and long first coupon periods.

    Note   cfamounts or accrfrac is recommended when calculating accrued interest beyond the first period.

Examples

expand all

Find Accrued Interest of a Bond with Periodic Interest Payments

This example shows how to find the accrued interest for a bond with semiannual interest payments.

AccruInterest = acrubond('31-jan-1983',  '1-mar-1993', ...
                '31-jul-1983',  100,  0.1,  2,  0)
AccruInterest =

    0.8011

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