cashflow.txt

在估计利率期限结构时

%cf_t2.m;%央票现金流和时间分析
load  data.mat;
i=0;
for i=1:63
s=datenum(settle(i));
m=datenum(maturity(i));
switch period(i)
case 0           %因为这里用到的央票都是零息债券，其实可以将case 1 删除
cf(i,1)=100;
t(i,1)=(m-s-3)/365;
case 1 %一年付息一次的息票债券
n1=ceil((m-s-3)/365);
t(i,n1)=(m+1-3)/365;
cf(i,n1)=100*(1+coupon(i));
for j=(n1-1):-1:1
cf(i,j)=100*coupon(i);
t(i,j)=t(i,j+1)-1;
end
end
end





%短期融资券现金流和时间分析
i=0;
for i=1:147
s=datenum(settle_qy(i));
m_qy=datenum(maturity_qy(i));
switch period_qy(i)
case 0 %零息票债券
cf_qy(i,1)=100;
t_qy(i,1)=(m_qy-s-3)/365;
case 1 %一年付息一次的息票债券
n1=ceil((m_qy-s-3)/365);
t_qy(i,n1)=(m_qy-s-3)/365;
cf_qy(i,n1) = 100*(1+coupon_qy(i));
for j=(n1-1):-1:1
cf_qy(i,j)=100*coupon_qy(i);
t_qy(i,j)=t_qy(i,j-3)-1;
end                      %短期融资券没有一年度两次息的所以将case 2删除
end
end
save data.mat;