Main Content

cftimes

Time factors corresponding to bond cash flow dates

Description

example

TFactors = cftimes(Settle,Maturity) determines the time factors corresponding to the cash flows of a bond or set of bonds.

cftimes computes the time factor of a cash flow, which is the difference between the settlement date and the cash flow date, in units of semiannual coupon periods. In computing time factors, use SIA actual/actual day count conventions for all time factor calculations.

example

TFactors = cftimes(___,Name,Value) specifies options using one or more name-value pair arguments in addition to the input arguments in the previous syntax.

Examples

collapse all

This example shows how to calculate a cash flow time factor.

Settle = '15-Mar-1997';
Maturity = '01-Sep-1999';
Period = 2;
TFactors = cftimes(Settle, Maturity, Period)
TFactors = 1×5

    0.9239    1.9239    2.9239    3.9239    4.9239

Input Arguments

collapse all

Settlement date, specified as an NINST-by-1 vector using serial date numbers or a cell array of date character vectors. Settle must be earlier than Maturity.

Data Types: double | char | cell

Maturity date, specified as an NINST-by-1 vector using serial date numbers or a cell array of date character vectors. The Settle date is the date on which the cash flows are priced.

Data Types: double | char | cell

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: TFactors = cftimes(Settle,Maturity,'Period',4)

Number of coupon payments per year, specified as the comma-separated pair consisting of 'Period' and a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS vector using the values: 0, 1, 2, 3, 4, 6, or 12.

Data Types: double

Day-count basis, specified as the comma-separated pair consisting of 'Basis' and a positive integer using a NINST-by-1 vector.

  • 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

End-of-month rule flag, specified as the comma-separated pair consisting of 'EndMonthRule' and a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS 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 coupon payment date is always the same numerical day of the month.

  • 1 = Set rule on, meaning that a bond coupon payment date is always the last actual day of the month.

Data Types: logical

Bond Issue date, specified as the comma-separated pair consisting of 'IssueDate' and a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS vector using serial date numbers, date character vectors, or datetime arrays.

If you do not specify an IssueDate, the cash flow payment dates are determined from other inputs.

Data Types: double | char | datetime

Irregular or normal first coupon date, specified as the comma-separated pair consisting of 'FirstCouponDate' and a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS vector using serial date numbers, date character vectors, or datetime arrays.

If you do not specify a FirstCouponDate, the cash flow payment dates are determined from other inputs.

Data Types: double | char | datetime

Irregular or normal last coupon date, specified as the comma-separated pair consisting of 'LastCouponDate' and a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS vector using serial date numbers, date character vectors, or datetime arrays.

If you do not specify a LastCouponDate, the cash flow payment dates are determined from other inputs.

Data Types: double | char | datetime

Forward starting date of payments, specified as the comma-separated pair consisting of 'StartDate' and a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS vector using serial date numbers, date character vectors, or datetime arrays. The StartDate is when a bond actually starts (the date from which a bond cash flow is considered). To make an instrument forward-starting, specify this date as a future date.

If you do not specify a StartDate, the effective start date is the Settle date.

Data Types: double | char | datetime

Compounding frequency for yield calculation, specified as the comma-separated pair consisting of 'CompundingFrequency' and a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS vector.

  • 1 — Annual compounding

  • 2 — Semiannual compounding

  • 3 — Compounding three times per year

  • 4 — Quarterly compounding

  • 6 — Bimonthly compounding

  • 12 — Monthly compounding

Note

By default, SIA bases (0-7) and BUS/252 use a semiannual compounding convention and ICMA bases (8-12) use an annual compounding convention.

Data Types: double

Basis used to compute the discount factors for computing the yield, specified as the comma-separated pair consisting of 'DiscountBasis' and a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS vector. Values are:

  • 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.

Note

If a SIA day-count basis is defined in the Basis input argument and there is no value assigned for DiscountBasis, the default behavior is for SIA bases to use the actual/actual day count to compute discount factors.

If an ICMA day-count basis or BUS/252 is defined in the Basis input argument and there is no value assigned for DiscountBasis, the specified bases from the Basis input argument are used.

Data Types: double

Output Arguments

collapse all

Time to cash flow, returned as an NUMBONDS rows. The number of columns is determined by the maximum number of cash flow payment dates required to hold the bond portfolio. NaNs are padded for bonds which have less than the maximum number of cash flow payment dates.

References

[1] Krgin, Dragomir. Handbook of Global Fixed Income Calculations. John Wiley & Sons, 2002.

[2] Mayle, Jan. “Standard Securities Calculations Methods: Fixed Income Securities Formulas for Analytic Measures.” SIA, Vol 2, Jan 1994.

[3] Stigum, Marcia, and Franklin Robinson. Money Market and Bond Calculations. McGraw-Hill, 1996.

Introduced before R2006a