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

Find a cash flow time factor:

Settle = '15-Mar-1997';
Maturity = '01-Sep-1999';
Period = 2;
TFactors = cftimes(Settle, Maturity, Period)

This returns:

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.

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