acrubond

Accrued interest of security with periodic interest payments

Syntax

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

AccruInterest = acrubond(___,Period,Basis)

Description

AccruInterest = acrubond(IssueDate,Settle,FirstCouponDate,Face,CouponRate) returns the accrued interest for a security with periodic interest payments. acrubond 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.

AccruInterest = acrubond(___,Period,Basis) adds optional arguments for Period and Basis.

Examples

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(datetime(1983,1,31), datetime(1993,3,1),datetime(1983,7,31),  100,  0.1,  2,  0)

AccruInterest = 0.8011

Input Arguments

IssueDate — Issue date of security

datetime array | string array | date character vector

Issue date of the security, specified as a scalar or a NINST-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, acrubond also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Settle — Settlement date of security

datetime array | string array | date character vector

Settlement date of the security, specified as a scalar or a NINST-by-1 vector using a datetime array, string array, or date character vectors. The Settle date must be before the Maturity date.

To support existing code, acrubond also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

FirstCouponDate — First coupon date of security

datetime array | string array | date character vector

First coupon date of the security, specified as a scalar or a NINST-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, acrubond also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Face — Redemption value of security

numeric

Redemption value (par value) of the security, specified as a scalar or a NINST-by-1 vector.

Data Types: double

CouponRate — Coupon rate of security

decimal fraction

Coupon rate of the security, specified as a scalar or a NINST-by-1 vector of decimal fraction values.

Data Types: double

Period — Number of coupon payments per year

2 (default) | numeric with values 0, 1, 2, 3, 4, 6 or 12

(Optional) Number of coupon payments per year for the security, specified as scalar or a NINST-by-1 vector using the values: 0, 1, 2, 3, 4, 6, or 12.

Data Types: double

Basis — Day-count basis

0 (actual/actual) (default) | integers of the set [0...13] | vector of integers of the set [0...13]

(Optional) Day-count basis for the security, specified as a scalar or a NINST-by-1 vector. Values are:

• 0 = actual/actual

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (PSA)

• 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.

Data Types: double

Output Arguments

AccruInterest — Accrued interest

numeric

Accrued interest for the security, returned as a scalar or a NINST-by-1 vector.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although acrubond supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.