Documentation

accrfrac

Fraction of coupon period before settlement

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

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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 = 3×1

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 = 3×1

0.5714
0.4033
0.2320

Input Arguments

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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

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