cftimes

Settle

Settlement date. A vector of serial date numbers or date strings. Settle must be earlier than or equal to Maturity.

Maturity

Maturity date. A vector of serial date numbers or date strings.

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 (ISMA)

• 9 = actual/360 (ISMA)

• 10 = actual/365 (ISMA)

• 11 = 30/360E (ISMA)

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 when a bond was issued.

FirstCouponDate

(Optional) Date when a bond makes its first coupon payment. When FirstCouponDate and LastCouponDate are both specified, FirstCouponDate takes precedence in determining the coupon payment structure.

LastCouponDate

(Optional) Last coupon date of a bond prior to the maturity date. 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 will be followed only by the bond's maturity cash flow date.

StartDate

(Future implementation; optional) Date when a bond actually starts (the date from which a bond's cash flows can be considered). To make an instrument forward-starting, specify this date as a future date. If StartDate is not explicitly specified, the effective start date is the settlement date.