accrfrac (Financial Toolbox)

Fraction of coupon period before settlement.

Syntax

Fraction = accrfrac(Settle, Maturity, Period, Basis, EndMonthRule, 
IssueDate, FirstCouponDate, LastCouponDate, StartDate)

Arguments


`Settle`	Settlement date. A vector of serial date numbers or date strings. `Settle` must be earlier than or equal to `Maturity`.
`Maturity`	Maturity date. A vector of serial date numbers or date strings.
`Period`	Coupons per year of the bond. A vector of integers. Allowed values are `1`, `2`, `3`, `4`, `6`, and `12`. Default = `2`.
`Basis`	Day-count basis of the bond. A vector of integers. `0` = actual/actual (default), `1` = 30/360, `2` = actual/360, `3` = actual/365.
`Basis`
`EndMonthRule`	End-of-month rule. A vector. 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 (default), meaning that a bond's coupon payment date is always the last actual day of the month.
`IssueDate`	Date when a bond was issued.
`FirstCouponDate`	Date when a bond makes its first coupon payment. When `FirstCouponDate` and `LastCouponDate` are both specified, `FirstCouponDate` takes precedence in determining the coupon payment structure.
`LastCouponDate`	Last coupon date of a bond prior to the maturity date. 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 will be followed only by the bond's maturity cash flow date.
`StartDate`	Date when a bond actually starts (the date from which a bond's cash flows can be considered). To make an instrument forward-starting, specify this date as a future date. If `StartDate` is not explicitly specified, the effective start date is the settlement date.

Settle and Maturity are required arguments. All others are optional.
Vector arguments must have consistent dimensions, or they must be scalars.

Description

Fraction = accrfrac(Settle, Maturity, Period, Basis, EndMonthRule, 
IssueDate, FirstCouponDate, LastCouponDate, StartDate)

returns the fraction of the coupon period before settlement. This function is used for computing accrued interest.

Example

Given data for three bonds:

Settle = '14-Mar-1997';
Maturity = ['30-Nov-2000'
            '31-Dec-2000'
            '31-Jan-2001'];
Period = 2;
Basis = 0;
EndMonthRule = 1;

Execute the function.

Fraction = accrfrac(Settle, Maturity, Period, Basis,... 
EndMonthRule)
Fraction =
    0.5714
    0.4033
    0.2320