Financial Toolbox™

thirdwednesday - Find third Wednesday of month

Syntax

[BeginDates, EndDates] = thirdwednesday(Month, Year)

Arguments

`Month`	Month of delivery for Eurodollar futures.
`Year`	Four-digit year of delivery for Eurodollar futures, in sequence corresponding to a month in the `Month` input argument.

Inputs can be scalars or n-by-1 vectors.

Description

[BeginDates, EndDates] = thirdwednesday(Month, Year) computes the beginning and end period date for a LIBOR contract (third Wednesdays of delivery months).

BeginDates is the beginning of three-month period contract as specified by Month and Year.

EndDates is the end of three-month period contract as specified by Month and Year.

Notes 1. All dates are returned as serial date numbers. Convert to strings using datestr.

2. The function returns duplicates if you supply identical months and years.

3. The function supports dates from January 2000 to December 2099.

Examples

Find the third Wednesday dates for swaps commencing in the month of October in the years 2002, 2003, and 2004.

Months = [10; 10; 10];
Year = [2002; 2003; 2004];
[BeginDates, EndDates] = thirdwednesday(Months, Year);

datestr(BeginDates)

ans =

16-Oct-2002
15-Oct-2003
20-Oct-2004

datestr(EndDates)

ans =

16-Jan-2003
15-Jan-2004
20-Jan-2005

tbl2bond

thirtytwo2dec