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cpndatenq

Next quasi-coupon date for fixed-income security

Syntax

  • NextQuasiCouponDate = cpndatenq(Settle,Maturity)
    example
  • NextQuasiCouponDate = cpndatenq(Settle,Maturity,Period,Basis,
    EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate)
    example

Description

example

NextQuasiCouponDate = cpndatenq(Settle,Maturity) determines the next quasi coupon date for a portfolio of NUMBONDS fixed income securities whether or not the first or last coupon is normal, short, or long. For zero coupon bonds cpndatenq returns quasi coupon dates as if the bond had a semiannual coupon structure. Successive quasi coupon dates determine the length of the standard coupon period for the fixed income security of interest and do not necessarily coincide with actual coupon payment dates.

Required input arguments must be number of bonds, NUMBONDS-by-1 or 1-by-NUMBONDS, conforming vectors or scalars.

example

NextQuasiCouponDate = cpndatenq(Settle,Maturity,Period,Basis,
EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate)
determines the next quasi coupon date for a portfolio of NUMBONDS fixed income securities whether or not the first or last coupon is normal, short, or long using optional input arguments. For zero coupon bonds cpndatenq returns quasi coupon dates as if the bond had a semiannual coupon structure. Successive quasi coupon dates determine the length of the standard coupon period for the fixed income security of interest and do not necessarily coincide with actual coupon payment dates.

Optional input arguments must be either NUMBONDS-by-1 or 1-by-NUMBONDS conforming vectors, scalars, or empty matrices.

If all the inputs for Settle, Maturity, IssueDate, FirstCouponDate, and LastCouponDate are either serial date numbers or date character vectors, then NextQuasiCouponDate is returned as a serial date number. The function datestr converts a serial date number to a formatted date character vector.

If any of the inputs for Settle, Maturity, IssueDate, FirstCouponDate, and LastCouponDate are datetime arrays, then NextQuasiCouponDate is returned as a datetime array.

Examples

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Given a pair of bonds with the following characteristics:

Settle = char('30-May-1997','10-Dec-1997');
Maturity = char('30-Nov-2002','10-Jun-2004');

Compute NextCouponDate for this pair of bonds.

NextCouponDate = cpndaten(Settle, Maturity);
datestr(NextCouponDate)
ans =

31-May-1997
10-Jun-1998

Compute the next quasi coupon dates for these two bonds.

NextQuasiCouponDate = cpndatenq(Settle, Maturity);
datestr(NextQuasiCouponDate)
ans =

31-May-1997
10-Jun-1998

Because no FirstCouponDate has been specified, the results are identical.

Now supply an explicit FirstCouponDate for each bond.

FirstCouponDate = char('30-Nov-1997','10-Dec-1998');

Compute the next coupon dates.

NextCouponDate = cpndaten(Settle, Maturity, 2, 0, 1, [],...
FirstCouponDate);
datestr(NextCouponDate)
ans =

30-Nov-1997
10-Dec-1998

The next coupon dates are identical to the specified first coupon dates.

Now recompute the next quasi coupon dates.

NextQuasiCouponDate = cpndatenq(Settle, Maturity, 2, 0, 1, [],...
FirstCouponDate);
datestr(NextQuasiCouponDate)
ans =

31-May-1997
10-Jun-1998

These results illustrate the distinction between actual coupon payment dates and quasi coupon dates. FirstCouponDate (and LastCouponDate, as well), when specified, is associated with an actual coupon payment and also serves as the synchronization date for determining all quasi coupon dates. Since each bond in this example pays semiannual coupons, and the first coupon date occurs more than six months after settlement, each will have an intermediate quasi coupon date before the actual first coupon payment occurs.

Related Examples

Input Arguments

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Settlement date, specified as a vector of serial date number, date character vector, or datetime array. Settle must be earlier than Maturity.

Data Types: double | char | datetime

Maturity date, specified as a vector of serial date numbers, date character vectors, or datetime arrays.

Data Types: double | char | datetime

Coupons per year of the bond, specified as a vector of positive integers from the set [1,2,3,4,6,12].

Data Types: single | double

Day-count basis of the instrument, specified as an integer with a value of 0 through 13 or a N-by-1 vector of integers with values of 0 through 13.

  • 0 = actual/actual (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (BMA)

  • 5 = 30/360 (ISDA)

  • 6 = 30/360 (European)

  • 7 = actual/365 (Japanese)

  • 8 = actual/actual (ICMA)

  • 9 = actual/360 (ICMA)

  • 10 = actual/365 (ICMA)

  • 11 = 30/360E (ICMA)

  • 12 = actual/365 (ISDA)

  • 13 = BUS/252

For more information, see basis.

Data Types: single | double

End-of-month rule flag for month having 30 or fewer days, specified as a nonnegative integer [0, 1] using a N-by-1 vector of values. 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, meaning that a bond's coupon payment date is always the last actual day of the month.

Data Types: logical

Bond issue date, specified as a serial date number, date character vector, or datetime array.

Data Types: double | char | datetime

Date when a bond makes its first coupon payment, specified as a serial date number, date character vector, or datetime array.

FirstCouponDate is used when a bond has an irregular first coupon period. When FirstCouponDate and LastCouponDate are both specified, FirstCouponDate takes precedence in determining the coupon payment structure. If you do not specify a FirstCouponDate, the cash flow payment dates are determined from other inputs.

Data Types: double | char | datetime

Last coupon date of a bond before maturity date, specified as a serial date number, date character vector, or datetime array.

LastCouponDate is used when a bond has an irregular last coupon period. 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 is followed only by the bond's maturity cash flow date. If you do not specify a LastCouponDate, the cash flow payment dates are determined from other inputs.

Data Types: double | char | datetime

Output Arguments

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Next quasi coupon date for a portfolio of NUMBONDS fixed income securities, whether or not the first or last coupon is normal, short, or long, returned as a NUMBONDS-by-1 vector.

For zero coupon bonds cpndatenq returns quasi coupon dates as if the bond had a semiannual coupon structure. Successive quasi coupon dates determine the length of the standard coupon period for the fixed income security of interest and do not necessarily coincide with actual coupon payment dates.

If all of the inputs for Settle, Maturity, IssueDate, FirstCouponDate, and LastCouponDate are either serial date numbers or date character vectors, then NextQuasiCouponDate is returned as a serial date number. The function datestr converts a serial date number to a formatted date character vector.

If any of the inputs for Settle, Maturity, IssueDate, FirstCouponDate, and LastCouponDate are datetime arrays, then NextQuasiCouponDate is returned as a datetime array.

Introduced before R2006a

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