cpndaysn - Number of days to next coupon date

Syntax

NumDaysNext = cpndaysn(Settle, Maturity, Period, Basis, 
EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate, 
StartDate)

Arguments

`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) 12 = actual/365 (ISDA) 13 = BUS/252
`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 before 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)

Required arguments must be number of bonds (NUMBONDS)-by-1 or 1-by-NUMBONDS conforming vectors or scalars. Optional arguments must be either NUMBONDS-by-1 or 1-by-NUMBONDS conforming vectors, scalars, or empty matrices.

Description

NumDaysNext = cpndaysn(Settle, Maturity, Period, Basis, EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate, StartDate) returns the number of days from the settlement date to the next coupon date for a bond or set of bonds. For zero coupon bonds coupon dates are computed as if the bonds have a semiannual coupon structure.

Examples

NumDaysNext = cpndaysn('14 Sep 2000', '30 Jun 2001', 2, 0, 0)

NumDaysNext =

   107

NumDaysNext = cpndaysn('14 Sep 2000', '30 Jun 2001', 2, 0, 1)

NumDaysNext =

   108

Maturity = ['30 Apr 2001'; '31 May 2001'; '30 Jun 2001'];

NumDaysNext = cpndaysn('14 Sep 2000', Maturity)

NumDaysNext =

    47
    77
   108

cpndaysn - Number of days to next coupon date

Syntax

Arguments

Description

Examples

See Also