Previous quasi coupon date for fixed income security
PreviousQuasiCouponDate = cpndatepq(Settle, Maturity, Period,
Basis, EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate)
Settlement date. A vector of serial date numbers or date strings. Settle must be earlier than Maturity.
Maturity date. A vector of serial date numbers or date strings.
(Optional) Coupons per year of the bond. A vector of integers. Allowed values are 0, 1, 2 (default), 3, 4, 6, and 12.
(Optional) Day-count basis of the instrument. A vector of integers.
For more information, see basis.
(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.
(Optional) Date when a bond was issued.
(Optional) Date when a bond makes its first coupon payment; used when 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.
(Optional) Last coupon date of a bond before the maturity date; used when 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.
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. Fill unspecified entries in input vectors with the value NaN. Dates can be serial date numbers or date strings.
PreviousQuasiCouponDate = cpndatepq(Settle, Maturity, Period, Basis, EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate) determines the previous quasi coupon date on or before settlement for a set of NUMBONDS fixed income securities. This function finds the previous quasi coupon date for a bond with a coupon structure in which the first or last period is either normal, short, or long (whether or not the coupon structure is synchronized to maturity). For zero coupon bonds this function returns quasi coupon dates as if the bond had a semiannual coupon structure.
The term "previous quasi coupon date" refers to the previous coupon date for a bond calculated as if no issue date were specified. Although the issue date is not actually a coupon date, when issue date is specified, the previous actual coupon date for a bond is normally calculated as being either the previous coupon date or the issue date, whichever is greater. This function always returns the previous quasi coupon date regardless of issue date. If the settlement date is a coupon date, this function returns the settlement date.
PreviousQuasiCouponDate is returned as a serial date number. The function datestr converts a serial date number to a formatted date string.
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');
With no FirstCouponDate explicitly supplied, compute the PreviousCouponDate for this pair of bonds.
PreviousCouponDate = cpndatep(Settle, Maturity); datestr(PreviousCouponDate)
ans = 30-Nov-1996 10-Dec-1997
Note that since the settlement date for the second bond is also a coupon date, cpndatep returns this date as the previous coupon date.
Now establish a FirstCouponDate and IssueDate for this pair of bonds.
FirstCouponDate = char('30-Nov-1997','10-Dec-1998'); IssueDate = char('30-May-1996', '10-Dec-1996');
Recompute the PreviousCouponDate for this pair of bonds.
PreviousCouponDate = cpndatep(Settle, Maturity, 2, 0, 1, ... IssueDate, FirstCouponDate); datestr(PreviousCouponDate)
ans = 30-May-1996 10-Dec-1996
Since both of these bonds settled before the first coupon had been paid, cpndatep returns the IssueDate as the PreviousCouponDate.
Using the same data, compute PreviousQuasiCouponDate.
PreviousQuasiCouponDate = cpndatepq(Settle, Maturity, 2, 0, 1,... IssueDate, FirstCouponDate); datestr(PreviousQuasiCouponDate)
ans = 30-Nov-1996 10-Dec-1997
For the first bond the settlement date is not a normal coupon date. The PreviousQuasiCouponDate is the coupon date before or on the settlement date. Since the coupon structure is synchronized to FirstCouponDate, the previous quasi coupon date is 30-Nov-1996. PreviousQuasiCouponDate disregards IssueDate and FirstCouponDate in this case. For the second bond the settlement date (10-Dec-1997) occurs on a date when a coupon would normally be paid in the absence of an explicit FirstCouponDate. cpndatepq returns this date as PreviousQuasiCouponDate.