accrfrac

Fraction of coupon period before settlement

Syntax

Fraction = accrfrac(Settle,Maturity)

Fraction = accrfrac(___,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate)

Description

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.

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

Find Accrued Interest for a Bond

This example shows how to find the accrued interest for given bond data.

Settle = datetime(1997,3,14);
Maturity = [datetime(2000,11,30) datetime(2000,12,31) datetime(2001,1,31)];
Period = 2;
Basis = 0;
EndMonthRule = 1;

Fraction = accrfrac(Settle, Maturity, Period, Basis,... 
EndMonthRule)

Fraction = 3×1

    0.5714
    0.4033
    0.2320

Input Arguments

Settle — Settlement date

datetime array | string array | date character vector

Settlement date, specified as a scalar, or an NUMBONDS-by-1 vector using a datetime array, or string array, or date character vectors. Settle must be earlier than Maturity.

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

Data Types: char | string | datetime

Maturity — Maturity date

datetime array | string array | date character vector

Maturity date, specified as a scalar, or an NUMBONDS-by-1 vector using a datetime array, or string array, or date character vectors.

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

Data Types: char | string | datetime

Period — Coupons per year of the bond

2 (semiannual) (default) | vector of positive integers from the set [1,2,3,4,6,12]

Coupons per year of the bond, specified as a scalar or an NUMBONDS-by-1 vector of positive integers from the set [1,2,3,4,6,12].

Data Types: single | double

Basis — Day-count basis of the instrument

0 (actual/actual) (default) | numeric with value 0 through 13 | vector of numerics with values 0 through 13

Day-count basis of the instrument, specified as a scalar integer with a value of 0 through 13 or a NUMBONDS-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

For more information, see Basis.

Data Types: single | double

EndMonthRule — End-of-month rule flag for month having 30 or fewer days

1 (in effect) (default) | nonnegative integer 0 or 1

End-of-month rule flag for month having 30 or fewer days, specified as a scalar nonnegative integer or an NUMBONDS-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

IssueDate — Bond issue date

datetime array | string array | date character vector

Bond issue date, specified as a scalar, or an NUMBONDS-by-1 vector using a datetime array, or string array, or date character vectors.

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

Data Types: char | string | datetime

FirstCouponDate — Date when bond makes first coupon payment

datetime array | string array | date character vector

Date when a bond makes its first coupon payment, specified as a scalar, or an NUMBONDS-by-1 vector using a datetime array, or string array, or date character vectors.

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.

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

Data Types: double | char | string | datetime

LastCouponDate — Last coupon date of bond before maturity date

datetime array | string array | date character vector

Last coupon date of a bond before maturity date, specified as a scalar, or an NUMBONDS-by-1 vector using a datetime array, or string array, or date character vectors.

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.

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

Data Types: char | string | datetime

Output Arguments

Fraction — Fraction of coupon period before settlement

vector

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

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although accrfrac 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.