cpndatepq (Financial Toolbox)

Previous quasi coupon date for fixed income security.

Syntax

PreviousQuasiCouponDate = cpndatepq(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`	Coupons per year of the bond. A vector of integers. Allowed values are `1`, `2`, `3`, `4`, `6`, and `12`. Default = `2`.
`Basis`	Day-count basis of the bond. A vector of integers. `0` = actual/actual (default), `1` = 30/360, `2` = actual/360, `3` = actual/365.
`Basis`
`EndMonthRule`	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`	Date when a bond was issued.
`FirstCouponDate`	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`	Last coupon date of a bond prior to 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`	Date when a bond actually starts (the date from which a bond's cash flows can be considered). To make an instrument forward-starting, specify this date as a future date. If `StartDate` is not explicitly specified, the effective start date is the settlement date.

Settle and Maturity are required arguments. All others are optional.
Required arguments must be 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.

Description

PreviousQuasiCouponDate = cpndatepq(Settle, Maturity, Period, 
Basis, EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate, 
StartDate)

determines the previous quasi coupon date 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 the theoretical previous coupon date that would prevail if the bond were a coupon bond.

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 date or the issue date, whichever is greater. Also, the actual previous coupon date and the previous quasi coupon date can differ when the maturity date is not synchronized with the coupon structure and the settlement date is the maturity date. This function always returns the previous quasi coupon date whether or not the issue date is greater. This function only returns a maturity date as a previous coupon date if it is synchronized with coupon structure of the bond. If the settlement date is a coupon date, this function always returns the settlement date.

PreviousQuasiCouponDate is an NUMBONDS- by-1 vector.

Examples

Given a pair of bonds with the characteristics:

Settle = str2mat('30-May-1992','10-Dec-1992')
Maturity = str2mat('30-Nov-1997','10-Jun-1999')

With no FirstCouponDate explicitly supplied, compute the PreviousCouponDate for this pair of bonds:

PreviousCouponDate = cpndatep(Settle, Maturity)
datestr(PreviousCouponDate)
ans =

30-Nov-1991
10-Dec-1992

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 = str2mat('30-Nov-1992','10-Dec-1993')
IssueDate = str2mat(`30-May-1991', `10-Dec-1991')

Recompute the PreviousCouponDate for this pair of bonds:

PreviousCouponDate = cpndatep(Settle, Maturity, 2, 0, 1, ... 
IssueDate, FirstCouponDate)
ans =

30-May-1991
10-Dec-1991

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 = cpndatep(Settle, Maturity, 2, 0, 1, ... 
IssueDate, FirstCouponDate)
ans =

30-Nov-1991
10-Dec-1992

For the first bond the settlement date is not a normal coupon date. For this bond PreviousQuasiCouponDate indicates the date (30-Nov-1991) on which a coupon would normally be paid if an explicit FirstCouponDate had not been specified. For the second bond the settlement date (10-Dec-1992) occurs on a date when a coupon would normally be paid in the absence of an explicit FirstCouponDate. cpndatepq returns this date as PreviousQuasiCouponDate.