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cftimes

Time factors corresponding to bond cash flow dates

Syntax

[TFactors] = cftimes(Settle, Maturity)
[TFactors] = cftimes(Settle, Maturity,
Period, Basis, EndMonthRule,
IssueDate, FirstCouponDate, LastCouponDate, StartDate)
[TFactors] = cftimes(Settle, Maturity,
'ParameterName', 'ParameterValue ...)

Description

[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.

Input Arguments

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.

Ordered Input or Parameter–Value Pairs

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.

  • 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 (ISMA)

  • 9 = actual/360 (ISMA)

  • 10 = actual/365 (ISMA)

  • 11 = 30/360E (ISMA)

  • 12 = actual/365 (ISDA)

  • 13 = BUS/252

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.

Parameter–Value Pairs

Enter the following inputs only as parameter/value pairs.

CompoundingFrequency

Compounding frequency for yield calculation. By default, SIA bases (0-7) and BUS/252 use a semiannual compounding convention and ISMA bases (8-12) use an annual compounding convention.

DiscountBasis

Basis used to compute the discount factors for computing the yield. The default behavior is for SIA bases to use the actual/actual day count to compute discount factors. If you use ISMA day counts and BUS/252, the specified bases are used.

Output Arguments

TFactors

TFactors has NUMBONDS rows and 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.

Definitions

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.

Examples

expand all

Compute the Time Factor of a Cash Flow

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 =

    0.9239    1.9239    2.9239    3.9239    4.9239

References

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.

See Also

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