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prmat

Price with interest at maturity

Description

example

[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.

example

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

Examples

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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

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

Settle = '7-Feb-2002';
Maturity = '13-Apr-2002';
Issue = '11-Oct-2001';
Face = 100;
CouponRate = 0.0608;
Yield = 0.0608;
Basis = 1;

[Price, AccruInterest] = prmat(datetime(Settle,'Locale','en_US'), datetime(Maturity,'Locale','en_US'), datetime(Issue,'Locale','en_US'),...
Face,CouponRate, Yield, Basis)
Price = 99.9784
AccruInterest = 1.9591

Input Arguments

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Settlement date of the security, specified as serial date numbers, date character vectors, or datetime arrays. The Settle date must be before the Maturity date.

Data Types: double | char | datetime

Maturity date of the security, specified as serial date numbers, date character vectors, or datetime arrays.

Data Types: double | char | datetime

Issue date of the security, specified as serial date numbers, date character vectors, or datetime arrays.

Data Types: double | char | datetime

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

Data Types: double

Coupon rate, specified as a decimal fraction value.

Data Types: double

Annual yield, specified as a decimal fraction value.

Data Types: double

(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

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Security price, returned as a numeric value.

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