cftimes (Financial Toolbox)

Time factors corresponding to bond cash flow dates (SIA compliant)

Syntax

TFactors = cftimes(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
(Optional) Coupons per year of the bond. A vector of integers. Allowed values are 0, 1, 2, 3, 4, 6, and 12. Default = 2.

Basis
(Optional) Day-count basis of the bond. (Time factors are computed on an actual/actual basis. Basis is included here as an input argument to maintain interface consistency with other coupon functions.)

EndMonthRule
(Optional) 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
(Optional) Date when a bond was issued.

FirstCouponDate
(Optional) 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
(Optional) 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
(Future implementation; optional) 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`	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`	(Optional) Coupons per year of the bond. A vector of integers. Allowed values are 0, 1, 2, 3, 4, 6, and 12. Default = 2.
`Basis`	(Optional) Day-count basis of the bond. (Time factors are computed on an actual/actual basis. `Basis` is included here as an input argument to maintain interface consistency with other coupon functions.)
`EndMonthRule`	(Optional) 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`	(Optional) Date when a bond was issued.
`FirstCouponDate`	(Optional) 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`	(Optional) 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`	(Future implementation; optional) 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.

Description

TFactors = cftimes(Settle, Maturity, Period, Basis, EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate, StartDate) determines the time factors corresponding to the cash flows of a bond or set of bonds. The time factor of a cash flow is the difference between the settlement date and the cash flow date in units of semi-annual coupon periods.

Examples

Settle = '15-Mar-1997';
Maturity = '01-Sep-1999';
Period = 2;
TFactors = cftimes(Settle, Maturity, Period)

TFactors =

    0.9239    1.9239    2.9239    3.9239    4.9239

See Also

accrfrac, cfdates, cfamounts, cpncount, cpndaten, cpndatenq, cpndatep, cpndatepq, cpndaysn, cpndaysp, cpnpersz

cfport corr2cov