cftimes (Financial Toolbox)

Time factors corresponding to bond cash flow dates.

Syntax

TFactors = cftimes(Settle, Maturity, Period, Basis, 
EndMonthRule,           IssueDate, FirstCouponDate, LastCouponDate, 
StartDate)

Arguments


`Settle`	Settlement date. A vector of serial date numbers or date strings. `Settle` must be earlier than or equal to `Maturity`.
`Maturity`	Maturity date. A vector of serial date numbers or date strings.
`Period`	Coupons per year of the bond. A vector of integers. Allowed values are `1`, `2`, `3`, `4`, `6`, and `12`. Default = `2`.
`Basis`	Day-count basis of the bond. (Time factors are computed on an actual/actual basis. `Basis` is included here as an input argument to maintain interface consistency with other coupon functions.)
`Basis`
`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's coupon payment date is always the same numerical day of the month. `1` = set rule on (default), meaning that a bond's coupon payment date is always the last actual day of the month.
`IssueDate`	Date when a bond was issued.
`FirstCouponDate`	Date when a bond makes its first coupon payment. When `FirstCouponDate` and `LastCouponDate` are both specified, `FirstCouponDate` takes precedence in determining the coupon payment structure.
`LastCouponDate`	Last coupon date of a bond prior to the maturity date. 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 will be followed only by the bond's maturity cash flow date.
`StartDate`	Date when a bond actually starts (the date from which a bond's cash flows can be considered). To make an instrument forward-starting, specify this date as a future date. If `StartDate` is not explicitly specified, the effective start date is the settlement date.

Settle and Maturity are required arguments. All others are optional.
Vector arguments must have consistent dimensions, or they must be scalars.

Description

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. The time factor of a cash flow is the difference between the settlement date and the cash flow date in units of semi-annual coupon periods.

Example

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