cfdates

Cash flow dates for fixed-income security

Syntax

CFlowDates = cfdates(Settle,Maturity,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate,StartDate)

Arguments

Settle

Settlement date. A vector of serial date numbers, date character vectors, or datetime arrays. Settle must be earlier than Maturity.

Maturity

Maturity date. A vector of serial date numbers, date character vectors, or datetime arrays.

Period

(Optional) Coupons per year of the bond. A vector of integers. Allowed values are 0, 1, 2 (default), 3, 4, 6, and 12.

Basis

(Optional) Day-count basis of the instrument. A vector of integers.

  • 0 = actual/actual (default)

  • 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

For more information, see Basis.

EndMonthRule

(Optional) 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

(Optional) Date, specified as a serial date number, date character vector, or datetime array, when a bond was issued.

FirstCouponDate

(Optional) Date, specified as a serial date number, date character vector, or datetime array, when a bond makes its first coupon payment. FirstCouponDate is used when a bond has an irregular first coupon period. When FirstCouponDate and LastCouponDate are both specified, FirstCouponDate takes precedence in determining the coupon payment structure. If you do not specify a FirstCouponDate, the cash flow payment dates are determined from other inputs.

LastCouponDate

(Optional) Last coupon date of a bond before the maturity date, specified as a serial date number, date character vector, or datetime array. LastCouponDate is used when a 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. If you do not specify a LastCouponDate, the cash flow payment dates are determined from other inputs.

StartDate

(Optional) Date, specified as a serial date number, date character vector, or datetime array, 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.

Required arguments must be number of bonds (NUMBONDS)-by-1 or 1-by-NUMBONDS conforming vectors or scalars. Optional arguments must be either NUMBONDS-by-1 or 1-by-NUMBONDS conforming vectors, scalars, or empty matrices.

Any input can contain multiple values, but if so, all other inputs must contain the same number of values or a single value that applies to all. For example, if Maturity contains N dates, then Settle must contain N dates or a single date.

Description

CFlowDates = cfdates(Settle,Maturity,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate,StartDate) returns a matrix of cash flow dates for a bond or set of bonds. cfdates determines all cash flow dates for a bond whether or not the coupon payment structure is normal or the first and/or last coupon period is long or short.

CFlowDates is an N-row matrix of serial date numbers, padded with NaNs as necessary to ensure that all rows have the same number of elements. Use the function datestr to convert serial date numbers to formatted date character vectors.

If all of the inputs for Settle, Maturity, IssueDate, FirstCouponDate, LastCouponDate, and StartDate are either serial date numbers or date character vectors, then CFlowDates is returned as a serial date number.

If any of the inputs for Settle, Maturity, IssueDate, FirstCouponDate, LastCouponDate, or StartDate are datetime arrays, then CFlowDates is returned as a datetime array.

Note

The cash flow flags for a portfolio of bonds were formerly available as the cfdates second output argument, CFlowFlags. You can now use cfamounts to get these flags. If you specify a CFlowFlags argument, cfdates displays a message directing you to use cfamounts.

Examples

CFlowDates = cfdates('14 Mar 1997', '30 Nov 1998', 2, 0, 1)
CFlowDates =
      729541      729724      729906      730089
datestr(CFlowDates)
ans =
31-May-1997
30-Nov-1997
31-May-1998
30-Nov-1998

If any of the inputs for Settle, Maturity, IssueDate, FirstCouponDate, LastCouponDate, or StartDate are datetime arrays, then CFlowDates is returned as a datetime array. For example:

CFlowDates = cfdates('14-Mar-1997', datetime('30-Nov-1998','Locale','en_US'), 2, 0, 1)
CFlowDates = 

   31-May-1997   30-Nov-1997   31-May-1998   30-Nov-1998

Given three securities with different maturity dates and the same default arguments

Maturity = ['30-Sep-1997'; '31-Oct-1998'; '30-Nov-1998'];
CFlowDates = cfdates('14-Mar-1997', Maturity)
CFlowDates =
      729480      729663         NaN         NaN
      729510      729694      729875      730059
      729541      729724      729906      730089

Look at the cash-flow dates for the last security.

datestr(CFlowDates(3,:))
ans =
31-May-1997
30-Nov-1997
31-May-1998
30-Nov-1998

See Also

| | | | | | | | | | |

Topics

Introduced before R2006a

Financial Toolbox Documentation

Support