ED_FUT2DATE
Updated: 29 Mar 2013
Use ED_FUT2DATE to convert a Eurodollar futures delivery code into a delivery date. The delivery code consists of a letter identifying the delivery month and a one- or two-digit suffix identifying the delivery year. The calculation of the delivery date is based upon the start date passed to the function. If no start date is provided, the start date defaults to the server date.
Syntax
SELECT [wctFinancial].[wct].[ED_FUT2DATE](
<@DeliveryCode, nvarchar(4000),>
,<@StartDate, datetime,>)
Arguments
@DeliveryCode
the standard delivery codes for Eurodollar futures, consisting of a letter and a one- or two-digit number.
@StartDate
the date from which the delivery date is calculated. @StartDate is an expression of type datetime or of a type that can be implicitly converted to datetime.
Return Type
datetime
Remarks
· If @StartDate is NULL, @StartDate =GETDATE()
· Valid letters for @DeliveryCode are F, G, H, J, K, M, N, Q, U, V, X, and Z.
Example
In this example we calculate the delivery dates for the futures strip for the next 2 years as of 2013-03-25.
SELECT DC as [DELIVERY CODE]
,wct.ED_FUT2DATE(dc,'2013-03-25') AS [DELIVERY DATE]
FROM (
SELECT 'M13' UNION ALL
SELECT 'U13' UNION ALL
SELECT 'Z13' UNION ALL
SELECT 'H14' UNION ALL
SELECT 'M14' UNION ALL
SELECT 'U14' UNION ALL
SELECT 'Z14' UNION ALL
SELECT 'H15'
)n(dc)
This produces the following result.
DELIVERY CODE DELIVERY DATE
------------- -----------------------
M13 2013-06-19 00:00:00.000
U13 2013-09-18 00:00:00.000
Z13 2013-12-18 00:00:00.000
H14 2014-03-19 00:00:00.000
M14 2014-06-18 00:00:00.000
U14 2014-09-17 00:00:00.000
Z14 2014-12-17 00:00:00.000
H15 2015-03-18 00:00:00.000
In this example, we enter the same futures strip using a single digit to represent the year.
SELECT DC as [DELIVERY CODE]
,wct.ED_FUT2DATE(dc,'2013-03-25') AS [DELIVERY DATE]
FROM (
SELECT 'M3' UNION ALL
SELECT 'U3' UNION ALL
SELECT 'Z3' UNION ALL
SELECT 'H4' UNION ALL
SELECT 'M4' UNION ALL
SELECT 'U4' UNION ALL
SELECT 'Z4' UNION ALL
SELECT 'H5'
)n(dc)
This produces the following result.
DELIVERY CODE DELIVERY DATE
------------- -----------------------
M3 2013-06-19 00:00:00.000
U3 2013-09-18 00:00:00.000
Z3 2013-12-18 00:00:00.000
H4 2014-03-19 00:00:00.000
M4 2014-06-18 00:00:00.000
U4 2014-09-17 00:00:00.000
Z4 2014-12-17 00:00:00.000
H5 2015-03-18 00:00:00.000