Dates from time and frequency
Dates From Time and Frequency
This example shows how to compute dates from time and frequency.
Settle = datetime(2002,9,1); Maturity = [datetime(2005,8,31) ; datetime(2006,2,28) ; datetime(2006,6,15) ; datetime(2006,12,31) ]; Compounding = 2; Basis = 0; EndMonthRule = 1; Times = date2time(Settle, Maturity, Compounding, Basis, EndMonthRule)
Times = 4×1 5.9945 6.9945 7.5738 8.6576
Dates_calc = time2date(Settle, Times, Compounding, Basis, EndMonthRule)
Dates_calc = 4x1 datetime 31-Aug-2005 28-Feb-2006 15-Jun-2006 31-Dec-2006
Settle — Settlement date
datetime scalar | string scalar | date character vector
Settlement date, specified as a scalar datetime, string, or date character vector.
To support existing code,
accepts serial date numbers as inputs, but they are not recommended.
Times — Time factors corresponding to
Time factors corresponding to
Compounding — Rate at which the input zero rates were compounded when annualized
2 (default) | integer with value of
(Optional) Rate at which the input zero rates were compounded when annualized, specified as a scalar integer value.
Disc = (1 + Z/F)^(-T), where
Fis the compounding frequency,
Zis the zero rate, and
Tis the time in periodic units; for example,
T = Fis one year.
Disc = (1 + Z/F)^(-T), where
Fis the number of days in the basis year and
Tis a number of days elapsed computed by basis.
Disc = exp(-T*Z), where
Tis time in years.
Basis — Day-count basis
0 (actual/actual) (default) | integer from
(Optional) Day-count basis, specified as a scalar or an
1 vector using the following
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.
EndMonthRule — End-of-month rule flag
1 (in effect) (default) | nonnegative integer
(Optional) End-of-month rule flag, specified as a scalar or an
1 vector of end-of-month rules.
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.
Maturity — Maturity dates corresponding to compounded rate quotes between
Settle and time factors
serial date number
Maturity dates corresponding to compounded rate quotes between
Settle and time factors, returned as a scalar or an
time2date function is the inverse of
Version HistoryIntroduced before R2006a
R2022b: Serial date numbers not recommended
time2date 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.