cpndaysp

Number of days since previous coupon date

Syntax

NumDaysPrevious = cpndaysp(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 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

For more information, see basis.

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; 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.

LastCouponDate

(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.

StartDate

(Future implementation)

Required arguments must be a 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

NumDaysPrevious = cpndaysp(Settle, Maturity, Period, Basis, EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate, StartDate) returns the number of days between the previous coupon date and the settlement date for a bond or set of bonds. When the coupon frequency is 0 (a zero coupon bond), the previous coupon date is calculated as if the frequency were semiannual.

Examples

NumDaysPrevious = cpndaysp('14 Mar 2000', '30 Jun 2001', 2, 0, 0)
NumDaysPrevious =

    75
NumDaysPrevious = cpndaysp('14 Mar 2000', '30 Jun 2001', 2, 0, 1)
NumDaysPrevious =

    74
Maturity = ['30 Apr 2001'; '31 May 2001'; '30 Jun 2001'];
NumDaysPrevious = cpndaysp('14 Mar 2000', Maturity)
NumDaysPrevious =

   135
   105
    74
Was this topic helpful?