time2date

Dates from time and frequency

Syntax

Maturity = time2date(Settle,Times)

Maturity = time2date(___,Compounding,Basis,EndMonthRule)

Description

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

Maturity = time2date(___,Compounding,Basis,EndMonthRule) add additional optional arguments.

Examples

Dates From Time and Frequency

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

Settle = datetime(2002,9,1);
Maturity = [datetime(2005,8,31) ; datetime(2006,2,28) ; datetime(2006,6,15) ; datetime(2006,12,31) ];
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 datetime
   31-Aug-2005
   28-Feb-2006
   15-Jun-2006
   31-Dec-2006

Input Arguments

Settle — Settlement date

datetime scalar | string scalar | date character vector

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.

Times — Time factors corresponding to Compounding

vector

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

Data Types: double

Compounding — Rate at which the input zero rates were compounded when annualized

2 (default) | integer with value of 1, 2, 3, 4, 6, 12, 365, or -1

(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

Basis — Day-count basis

0 (actual/actual) (default) | integer from 0 to 13

(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

For more information, see Basis.

Data Types: double

EndMonthRule — End-of-month rule flag

1 (in effect) (default) | nonnegative integer [0,1]

(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

Maturity — Maturity dates corresponding to compounded rate quotes between Settle and time factors

serial date number

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.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although time2date supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.