prmat

Price with interest at maturity

Syntax

[Price,AccruInterest] = prmat(Settle,Maturity,Issue,Face,CouponRateYield)

[Price,AccruInterest] = prmat(___,Basis)

Description

[Price,AccruInterest] = prmat(Settle,Maturity,Issue,Face,CouponRateYield) returns the price and accrued interest of a security that pays interest at maturity. This function also applies to zero coupon bonds or pure discount securities by setting CouponRate = 0.

[Price,AccruInterest] = prmat(___,Basis) adds an optional argument for Basis.

Examples

Compute Price and Accrued Interest of a Security That Pays Interest at Maturity

This example shows how to compute the price and accrued interest of a security that pays interest at maturity.

Settle = '02/07/2002';
Maturity = '04/13/2002';
Issue = '10/11/2001';
Face = 100;
CouponRate = 0.0608;
Yield = 0.0608;
Basis = 1;

[Price, AccruInterest] = prmat(Settle, Maturity, Issue, Face,... 
CouponRate, Yield, Basis)

Price = 
99.9784

AccruInterest = 
1.9591

Compute Price and Accrued Interest of a Security That Pays Interest at Maturity Using datetime Inputs

This example shows how to use datetime inputs compute the price and accrued interest of a security that pays interest at maturity.

Settle = datetime(2002,2,7);
Maturity = datetime(2002,4,13);
Issue = datetime(2001,10,11);
Face = 100;
CouponRate = 0.0608;
Yield = 0.0608;
Basis = 1;

[Price, AccruInterest] = prmat(Settle, Maturity, Issue, Face, CouponRate, Yield, Basis)

Price = 
99.9784

AccruInterest = 
1.9591

Input Arguments

Settle — Settlement date of security

datetime scalar | string scalar | date character vector

Settlement date of the security, specified as a scalar datetime, string, or date character vector. The Settle date must be before the Maturity date.

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

Data Types: char | string | datetime

Maturity — Maturity date of security

datetime scalar | string scalar | date character vector

Maturity date of the security, specified as a scalar datetime, string, or date character vector.

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

Data Types: char | datetime | string

Issue — Issue date

datetime scalar | string scalar | date character vector

Issue date of the security, specified as a scalar datetime, string, or date character vector.

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

Data Types: char | string | datetime

Face — Redemption value

numeric

Redemption value (par value), specified as a numeric value.

Data Types: double

CouponRate — Coupon rate

decimal fraction

Coupon rate, specified as a decimal fraction value.

Data Types: double

Yield — Annual yield

decimal fraction

Annual yield, specified as a decimal fraction value.

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 of the security, specified using the following values:

• 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

Price — Security price

numeric

Security price, returned as a numeric value.

AccruInterest — Accrued interest

numeric

Accrued interest for security, returned as a numeric value.

References

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

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although prmat 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.