discrate

Bank discount rate of security

Description

example

DiscRate = discrate(Settle,Maturity,Face,Price)computes 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.

DiscRate = discrate(___,Basis) adds an optional argument for Basis.

Examples

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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

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

DiscRate = discrate(datetime('12-jan-2000','Locale','en_US'), datetime('25-jun-2000','Locale','en_US'), 100, 97.74, 0)
DiscRate = 0.0501

Input Arguments

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Settlement date, specified as serial date numbers, date character vectors, or datetime arrays.

Data Types: double | datetime | char

Maturity date, specified as serial date number, date character vector, or datetime array.

Data Types: double | char | datetime

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

Data Types: double

Security price, specified as a numeric value.

Data Types: double

(Optional) Day-count basis of the instrument, specified as a vector of integers.

  • 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: double

Output Arguments

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Discount rate of security, returned as a decimal.

References

[1] Mayle. "Standard Securities Calculation Methods." Volumes I-II, 3rd edition. Formula 2.

Introduced before R2006a