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cpndatep

Previous coupon date for fixed-income security

Syntax

  • PreviousCouponDate = cpndatep(Settle,Maturity)
    example
  • PreviousCouponDate = cpndatep(Settle,Maturity,Period,Basis,
    EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate)
    example

Description

example

PreviousCouponDate = cpndatep(Settle,Maturity) returns the previous coupon date on or before settlement for a portfolio of bonds. This function finds the previous coupon date whether or not the coupon structure is synchronized with the maturity date. For zero coupon bonds the previous coupon date is the issue date, if available. However, if the issue date is not supplied, the previous coupon date for zero coupon bonds is the previous quasi coupon date calculated as if the frequency is semiannual.

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

example

PreviousCouponDate = cpndatep(Settle,Maturity,Period,Basis,
EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate)
returns the previous coupon date on or before settlement for a portfolio of bonds. This function finds the previous coupon date whether or not the coupon structure is synchronized with the maturity date. For zero coupon bonds the previous coupon date is the issue date, if available. However, if the issue date is not supplied, the previous coupon date for zero coupon bonds is the previous quasi coupon date calculated as if the frequency is semiannual.

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 PreviousCouponDate 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 PreviousCouponDate is returned as a datetime array.

Examples

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Determine the PreviousCouponDate when using character vectors for input arguments.

PreviousCouponDate = cpndatep('14-Mar-1997', '30-Jun-2000',...
2, 0, 0);
datestr(PreviousCouponDate)
ans =

30-Dec-1996

Determine the PreviousCouponDate when using datetime arrays for input arguments.

PreviousCouponDate = cpndatep(datetime('14-Mar-1997','Locale','en_US'), '30-Jun-2000',...
2, 0, 0)
PreviousCouponDate = 

  datetime

   30-Dec-1996

Determine the PreviousCouponDate when using character vectors for input arguments and the optional argument for EndMonthRule.

PreviousCouponDate = cpndatep('14-Mar-1997', '30-Jun-2000',...
2, 0, 1);
datestr(PreviousCouponDate)
ans =

31-Dec-1996

Determine the PreviousCouponDate when using an input vector for Maturity.

Maturity = ['30-Apr-2000'; '31-May-2000'; '30-Jun-2000'];
PreviousCouponDate = cpndatep('14-Mar-1997', Maturity);
datestr(PreviousCouponDate)
ans =

31-Oct-1996
30-Nov-1996
31-Dec-1996

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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Previous coupon date on or before settlement for portfolio of bonds, returned as an NUMBONDS-by-1 vector. If settlement is a coupon date, this function returns the settlement date. The actual coupon date strictly on or before settlement is returned, but not exceeding the issue date, if available. Thus, this function will always return the lesser of the actual issue date and the previous coupon payment date with respect to settlement date.

If all the inputs for Settle, Maturity, IssueDate, FirstCouponDate, and LastCouponDate are either serial date numbers or date character vectors, then PreviousCouponDate 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 PreviousCouponDate is returned as a datetime array.

Introduced before R2006a

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