Financial Toolbox

acrudisc

Accrued interest of discount security paying at maturity

Syntax

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

`Settle`	Enter as serial date number or date string. `Settle` must be earlier than or equal to `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 (PSA) 5 = 30/360 (ISDA) 6 = 30/360 (European) 7 = actual/365 (Japanese) 8 = actual/actual (ISMA) 9 = actual/360 (ISMA) 10 = actual/365 (ISMA) 11 = 30/360E (ISMA)

AccruInterest = acrudisc(Settle, Maturity, Face, Discount, Period, Basis) returns 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 (or $2.06)

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