cftimes

Time factors corresponding to bond cash flow dates

Syntax

TFactors = cftimes(Settle,Maturity)

TFactors = cftimes(___,Name,Value)

Description

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.

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

Compute the Time Factor of a Cash Flow

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

Settle = datetime(1997,3,15);
Maturity = datetime(1999,9,1);
Period = 2;
TFactors = cftimes(Settle, Maturity, Period)

TFactors = 1×5

    0.9239    1.9239    2.9239    3.9239    4.9239

Input Arguments

Settle — Settlement date

datetime array | string array | date character vector

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

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

Data Types: char | string | datetime

Maturity — Maturity date

datetime array | string array | date character vector

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

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

Data Types: char | string | datetime

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

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

Period — Number of coupon payments per year

2 (default) | numeric with values 0, 1, 2, 3, 4, 6 or 12

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

Basis — Day-count basis

0 (actual/actual) (default) | positive integers of the set [1...13] | vector of positive integers of the set [1...13]

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

EndMonthRule — End-of-month rule flag

1 (in effect) (default) | nonnegative integer 0 or 1

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

IssueDate — Bond issue date

datetime array | string array | date character vector

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 a datetime array, string array, or date character vectors.

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

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

Data Types: char | string | datetime

FirstCouponDate — Irregular or normal first coupon date

datetime array | string array | date character vector

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 a datetime array, string array, or date character vectors.

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

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

Data Types: char | string | datetime

LastCouponDate — Irregular or normal last coupon date

datetime array | string array | date character vector

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 a datetime array, string array, or date character vectors.

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

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

Data Types: char | string | datetime

StartDate — Forward starting date of payments

datetime array | string array | date character vector

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 a datetime array, string array, or date character vectors. 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.

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

Data Types: char | string | datetime

CompoundingFrequency — Compounding frequency for yield calculation

SIA bases uses2, ICMA bases uses 1 (default) | integer with value of 1, 2, 3, 4, 6, or 12

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

DiscountBasis — Basis used to compute the discount factors for computing the yield

SIA uses 0 (default) | integers of the set [0...13] | vector of integers of the set [0...13]

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

TFactors — Time to cash flow

matrix

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.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although cftimes supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.