time2date

Dates from time and frequency

Description

example

Maturity = time2date(Settle,Times) computes dates corresponding to compounded rate quotes between Settle and time factors.

example

Examples

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This example shows how to compute dates from time and frequency.

Settle = '1-Sep-2002';
Maturity = datenum(['31-Aug-2005'; '28-Feb-2006'; '15-Jun-2006';
'31-Dec-2006']);
Compounding = 2;
Basis = 0;
EndMonthRule = 1;
Times = date2time(Settle, Maturity, Compounding, Basis, EndMonthRule)
Times = 4×1

5.9945
6.9945
7.5738
8.6576

Dates_calc = time2date(Settle, Times, Compounding, Basis, EndMonthRule)
Dates_calc = 4×1

732555
732736
732843
733042

datestr(Dates_calc)
ans = 4x11 char array
'31-Aug-2005'
'28-Feb-2006'
'15-Jun-2006'
'31-Dec-2006'

Input Arguments

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Settlement date, specified as a scalar serial date number or date character vector.

Data Types: char | double

Time factors corresponding to Compounding, specified as an N-by-1 vector.

(Optional) Rate at which the input zero rates were compounded when annualized, specified as a scalar integer value.

• If Compounding = 1, 2, 3, 4, 6, 12:

Disc = (1 + Z/F)^(-T), where F is the compounding frequency, Z is the zero rate, and T is the time in periodic units; for example, T = F is one year.

• If Compounding = 365:

Disc = (1 + Z/F)^(-T), where F is the number of days in the basis year and T is a number of days elapsed computed by basis.

• If Compounding = −1:

Disc = exp(-T*Z), where T is time in years.

Data Types: double

(Optional) Day-count basis, specified as a scalar or an N-by-1 vector using the following values:

• 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 (ICMA)

• 9 = actual/360 (ICMA)

• 10 = actual/365 (ICMA)

• 11 = 30/360E (ICMA)

• 12 = actual/365 (ISDA)

• 13 = BUS/252

Data Types: double

(Optional) End-of-month rule flag, specified as a scalar or an N-by-1 vector of end-of-month rules.

• 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.

Data Types: logical

Output Arguments

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Maturity dates corresponding to compounded rate quotes between Settle and time factors, returned as a scalar or an N-by-1 vector.

The time2date function is the inverse of date2time.

Introduced before R2006a