cpndatep (Financial Toolbox)

cpndatep
Previous coupon date for fixed-income security (SIA compliant)

Syntax

PreviousCouponDate = cpndatep(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
(Optional) Coupons per year of the bond. A vector of integers. Allowed values are 0, 1, 2, 3, 4, 6, and 12. Default = 2.

Basis
(Optional) Day-count basis of the bond. A vector of integers. 0 = actual/actual (default), 1 = 30/360, 2 = actual/360, 3 = actual/365.

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. When FirstCouponDate and LastCouponDate are both specified, FirstCouponDate takes precedence in determining the coupon payment structure.

LastCouponDate
(Optional) 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
(Future implementation; optional) 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`	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`	(Optional) Coupons per year of the bond. A vector of integers. Allowed values are 0, 1, 2, 3, 4, 6, and 12. Default = 2.
`Basis`	(Optional) Day-count basis of the bond. A vector of integers. 0 = actual/actual (default), 1 = 30/360, 2 = actual/360, 3 = actual/365.
`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. When `FirstCouponDate` and `LastCouponDate` are both specified, `FirstCouponDate` takes precedence in determining the coupon payment structure.
`LastCouponDate`	(Optional) 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`	(Future implementation; optional) 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.

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.

Description
PreviousCouponDate = cpndatep(Settle, Maturity, Period, Basis, EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate, StartDate) 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 semi-annual.

PreviousCouponDate is returned as a serial date number. The function datestr converts a serial date number to a formatted date string.

Examples

PreviousCouponDate = cpndatep('14 Mar 1997', '30 Jun 2000',... 
2, 0, 0);
datestr(PreviousCouponDate)
ans =
30-Dec-1996

PreviousCouponDate = cpndatep('14 Mar 1997', '30 Jun 2000',...
2, 0, 1);
datestr(PreviousCouponDate)
ans =
31-Dec-1996

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

See Also
accrfrac, cfamounts, cfdates, cftimes, cpncount, cpndaten, cpndatenq, cpndatepq, cpndaysn, cpndaysp, cpnpersz

cpndatenq cpndatepq