Time factors corresponding to bond cash flow dates
determines the time factors corresponding to the cash flows of a bond or set of
bonds.TFactors
= cftimes(Settle
,Maturity
)
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.
specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax. TFactors
= cftimes(___,Name,Value
)
[1] Krgin, Dragomir. Handbook of Global Fixed Income Calculations. John Wiley & Sons, 2002.
[2] Mayle, Jan. “Standard Securities Calculations Methods: Fixed Income Securities Formulas for Analytic Measures.” SIA, Vol 2, Jan 1994.
[3] Stigum, Marcia, and Franklin Robinson. Money Market and Bond Calculations. McGraw-Hill, 1996.
accrfrac
| cfamounts
| cfdates
| cpncount
| cpndaten
| cpndatenq
| cpndatep
| cpndatepq
| cpndaysn
| cpndaysp
| date2time