Hi everyone. It's my first time to post something on Stalist. I'm trying to follow the advice, but probably I still make mistake somewhere.
I am doing an event study in bonds. Thanks to many previous posts, I am able to create business calendar for my trading days:
My data looks like this:
To calculate return of bond, I need to estimate accrued interest (or the change in accrued interest), which require me to have number of calendar days between 2 trading days. But because the tdate is on business calendar format, it showed the result of 1 when I subtract the 2 trading dates as following:
Could you please tell me how can I calculate number of calendar days based on those business days? Or another way to calculate accrued interest for bonds? I have also the information for the offering date, maturity dates and coupon rate.
Thank you so much in advance!
I am doing an event study in bonds. Thanks to many previous posts, I am able to create business calendar for my trading days:
Code:
input str10(var1 var2) long var3 float(var4 var5 var6) "88EO.ASX" "07/07/2015" 20150707 .005 .005 .005 "88EO.ASX" "08/07/2015" 20150708 .004 .004 .004 "88EO.ASX" "13/07/2015" 20150713 .005 .004 .005 "UseDataex!" "02/01/2015" 20150707 .005 .005 .005 "UseDataex!" "06/01/2015" 20150708 .004 .004 .004 end * convert string date to Stata SIF date gen ndate = daily(var2,"DMY") format %td ndate * convert to business calendar date gen tdate = bofd("trade", ndate) format tdate %tbtrade * declare panel data egen long panelvar = group(var1) tsset panelvar tdate * fill in missing trading days tsfill list
Code:
list +----------------------------------------------------------------------------------------+ | var1 var2 var3 var4 var5 var6 ndate tdate panelvar | |----------------------------------------------------------------------------------------| 1. | 88EO.ASX 07/07/2015 20150707 .005 .005 .005 07jul2015 . 1 | 2. | 88EO.ASX 08/07/2015 20150708 .004 .004 .004 08jul2015 . 1 | 3. | 88EO.ASX 13/07/2015 20150713 .005 .004 .005 13jul2015 . 1 | 4. | UseDataex! 02/01/2015 20150707 .005 .005 .005 02jan2015 . 2 | 5. | UseDataex! 06/01/2015 20150708 .004 .004 .004 06jan2015 . 2 | +----------------------------------------------------------------------------------------+
Code:
gen diff=tdate-tdate[_n-1]
Thank you so much in advance!
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