Documentation

discrate

Bank discount rate of money market security

Syntax

DiscRate = discrate(Settle, Maturity, Face, Price, Basis)

Arguments

Settle

Enter as serial date numbers or date strings. Settle must be earlier than Maturity.

Maturity

Enter as serial date numbers or date strings.

Face

Redemption (par, face) value.

Price

Price of the security.

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)

  • 12 = actual/365 (ISDA)

  • 13 = BUS/252

For more information, see basis.

Description

DiscRate = discrate(Settle, Maturity, Face, Price, Basis) finds the bank discount rate of a security. The bank discount rate normalizes by the face value of the security (for example, U. S. Treasury Bills) and understates the true yield earned by investors.

Examples

expand all

Compute the Bank Discount Rate of a Security

This example shows how to find the bank discount rate of a security.

DiscRate = discrate('12-jan-2000', '25-jun-2000', 100, 97.74, 0)
DiscRate =

    0.0501

References

Mayle, Standard Securities Calculation Methods, Volumes I-II, 3rd edition. Formula 1.

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