Documentation |
Time factors corresponding to bond cash flow dates
[TFactors] = cftimes(Settle, Maturity)
[TFactors] = cftimes(Settle, Maturity,
Period,
Basis, EndMonthRule,
IssueDate, FirstCouponDate, LastCouponDate,
StartDate)
[TFactors] = cftimes(Settle, Maturity,
'ParameterName',
'ParameterValue ...)
[TFactors] = cftimes(Settle, Maturity) determines the time factors corresponding to the cash flows of a bond or set of bonds.
[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, including optional inputs.
[TFactors] = cftimes(Settle, Maturity,
'ParameterName',
'ParameterValue ...) accepts optional inputs
as one or more comma-separated parameter/value pairs. 'ParameterName' is
the name of the parameter inside single quotes. ParameterValue is
the value corresponding to 'ParameterName'.
Specify parameter/value pairs in any order. Names are case-insensitive.
Settle |
Settlement date. A vector of serial date numbers or date strings. Settle must be earlier than Maturity. |
Maturity |
Maturity date. A vector of serial date numbers or date strings. |
Enter the following inputs using an ordered syntax or as parameter/value pairs. You cannot mix ordered syntax with parameter/value pairs.
Period |
Coupons per year of the bond. A vector of integers. Values are 0, 1, 2, 3, 4, 6, and 12. Default: 2 |
Basis |
Day-count basis of the instrument. A vector of integers.
For more information, see basis. Default: 0 |
EndMonthRule |
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 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. Default: 1 |
IssueDate |
Issue date for a bond. |
FirstCouponDate |
Date when a bond makes its first coupon payment; used when bond has an irregular first coupon period. When FirstCouponDate and LastCouponDate are both specified, FirstCouponDate takes precedence in determining the coupon payment structure. Default: If you do not specify a FirstCouponDate, the cash flow payment dates are determined from other inputs. |
LastCouponDate |
Last coupon date of a bond before the maturity date; used when bond has an irregular last coupon period. 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 is followed only by the bond's maturity cash flow date. Default: If you do not specify a LastCouponDate, the cash flow payment dates are determined from other inputs. |
StartDate |
Date 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 StartDate, the effective start date is the Settle date. |
Enter the following inputs only as parameter/value pairs.
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.
Krgin, Dragomir, Handbook of Global Fixed Income Calculations, John Wiley & Sons, 2002.
Mayle, Jan, "Standard Securities Calculations Methods: Fixed Income Securities Formulas for Analytic Measures", SIA, Vol 2, Jan 1994.
Stigum, Marcia, and Franklin Robinson, Money Market and Bond Calculations, McGraw-Hill, 1996.