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time2date

Dates from time and frequency

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Syntax

Dates = time2date(Settle,TFactors)
Dates = time2date(___,Compounding,Basis,EndMonthRule)

Description

Dates = time2date(Settle,TFactors) computes Dates corresponding to compounded rate quotes between Settle and TFactors. time2date is the inverse of date2time.

Dates = time2date(___,Compounding,Basis,EndMonthRule) computes Dates corresponding to compounded rate quotes between Settle and TFactors using optional input arguments for Compounding, Basis, and EndMonthRule. time2date is the inverse of date2time.

Examples

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Open Live Script

Show that date2time and time2date are the inverse of each other. First compute the time factors using date2time. 

Settle = datetime(2002,9,1);
Dates = [datetime(2005,8,31) ; datetime(2006,2,28) ; datetime(2006,6,15) ; datetime(2006,12,31)];
Compounding = 2;
Basis = 0;
EndMonthRule = 1;
TFactors = date2time(Settle, Dates, Compounding, Basis,... 
EndMonthRule)
TFactors = 4×1

    5.9945
    6.9945
    7.5738
    8.6576

Now use the calculated TFactors in time2date and compare the calculated dates with the original set. 

Dates_calc = time2date(Settle, TFactors, Compounding, Basis,... 
EndMonthRule)
Dates_calc = 4x1 datetime
   31-Aug-2005
   28-Feb-2006
   15-Jun-2006
   31-Dec-2006

Input Arguments

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Settlement date, specified as a scalar datetime, string, or date character vector.

To support existing code, time2date also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Time factors, corresponding to the compounding value, specified as a vector. TFactors must be equal to or greater than zero.

Data Types: double

Rate at which input zero rates are compounded when annualized, specified as a scalar with numeric values of: 0, 1, 2, 3, 4, 5, 6, 12, 365, or –1. Allowed values are defined as:

  • 0 — Simple interest (no compounding)

  • 1 — Annual compounding

  • 2 — Semiannual compounding (default)

  • 3 — Compounding three times per year

  • 4 — Quarterly compounding

  • 6 — Bimonthly compounding

  • 12 — Monthly compounding

  • 365 — Daily compounding

  • -1 — Continuous compounding

The optional Compounding argument determines the formula for the discount factors (Disc):

  • 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.

  • 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.

  • Compounding = -1

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

Day-count basis, specified as an integer with a value of 0 through 13 or a N-by-1 vector of integers with values 0 through 13.

  • 0 = actual/actual (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (BMA)

  • 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.

Data Types: single | double

End-of-month rule flag for month having 30 or fewer days, specified as scalar nonnegative integer [0, 1] or a using a N-by-1 vector of values. 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 payment date is always the same numerical day of the month.

  • 1 = Set rule on, meaning that a payment date is always the last actual day of the month.

Data Types: logical

Output Arguments

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Dates corresponding to compounded rate quotes between Settle and TFactors, returned as a scalar or a N-by-1 vector using serial date numbers or a datetime array.

Version History

Introduced before R2006a

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See Also

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