Main Content

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.

example

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

Examples

collapse all

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

DiscRate = discrate(datetime(2000,1,12),datetime(2000,6,25), 100, 97.74, 0) 
DiscRate = 0.0501

Input Arguments

collapse all

Settlement date, specified as a scalar datetime, string, or date character vector.

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

Data Types: datetime | string | char

Maturity date, specified as scalar datetime, string, or date character vector.

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

Data Types: char | string | datetime

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

Data Types: double

Security price, specified as a scalar numeric value.

Data Types: double

(Optional) Day-count basis of the instrument, specified as a scalar integer.

  • 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

collapse all

Discount rate of security, returned as a decimal.

References

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

Version History

Introduced before R2006a

expand all