cpndatepq

Previous quasi-coupon date for fixed-income security

Syntax

PreviousQuasiCouponDate = cpndatepq(Settle,Maturity)

PreviousQuasiCouponDate = cpndatepq(___,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate)

Description

PreviousQuasiCouponDate = cpndatepq(Settle,Maturity) determines the previous quasi-coupon date for a set of NUMBONDS fixed income securities. Prior quasi-coupon dates determine the length of the standard coupon period for the fixed income security of interest, and do not necessarily coincide with actual coupon payment dates. This function finds the previous quasi-coupon date for bonds with a coupon structure whose first or last period is either normal, short, or long.

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

PreviousQuasiCouponDate = cpndatepq(___,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate), using optional input arguments, determines the previous quasi-coupon date for a set of NUMBONDS fixed income securities.

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 strings or date character vectors, then PreviousQuasiCouponDate is returned as a serial date number. Use the function datetime to convert serial date numbers to formatted datetime arrays.

If any of the inputs for Settle, Maturity, IssueDate, FirstCouponDate, and LastCouponDate are datetime arrays, then PreviousQuasiCouponDate is returned as a datetime array.

Examples

Determine the Previous Quasi Coupon Date for a Portfolio of Fixed-Income Securities

Given a pair of bonds with the following characteristics:

Settle = [datetime(1997,5,30) ; datetime(1997,12,10)]; 
Maturity = [datetime(2002,11,30) ; datetime(2004,6,10)]; 

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

PreviousCouponDate = cpndatep(Settle, Maturity)

PreviousCouponDate = 2×1 datetime
   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 = [datetime(1997,11,30) ; datetime(1998,12,10)]; 
IssueDate = [datetime(1996,5,30) ; datetime(1996,12,10)]; 

Recompute the PreviousCouponDate for this pair of bonds.

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

PreviousCouponDate = 2×1 datetime
   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)

PreviousQuasiCouponDate = 2×1 datetime
   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.

Input Arguments

Settle — Settlement date

datetime array | string array | date character vector

Settlement date, specified as a NUMBONDS-by-1 vector using a datetime array, string array, or date character vectors. Settle must be earlier than Maturity.

To support existing code, cpndatepq also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Maturity — Maturity date

datetime array | string array | date character vector

Maturity date, specified as a NUMBONDS-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, cpndatepq also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Period — Coupons per year of the bond

2 (semiannual) (default) | vector of positive integers from the set [1,2,3,4,6,12]

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

Basis — Day-count basis of the instrument

0 (actual/actual) (default) | numeric with value 0 through 13 | vector of numerics with values 0 through 13

Day-count basis of the instrument, specified as an integer with a value of 0 through 13 or an 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

EndMonthRule — End-of-month rule flag for month having 30 or fewer days

1 (in effect) (default) | nonnegative integer [0,1]

End-of-month rule flag for month having 30 or fewer days, specified as a nonnegative integer [0, 1] using an 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

IssueDate — Bond issue date

datetime array | string array | date character vector

Bond issue date, specified as a NUMBONDS-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, cpndatepq also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

FirstCouponDate — Date when bond makes first coupon payment

datetime array | string array | date character vector

Date when a bond makes its first coupon payment, specified as a NUMBONDS-by-1 vector using a datetime array, string array, or date character vectors.

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.

To support existing code, cpndatepq also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

LastCouponDate — Last coupon date of bond before maturity date

datetime array | string array | date character vector

Last coupon date of a bond before maturity date, specified as a NUMBONDS-by-1 vector using a datetime array, string array, or date character vectors.

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.

To support existing code, cpndatepq also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Output Arguments

PreviousQuasiCouponDate — Previous quasi coupon date for portfolio of NUMBONDS fixed income securities

vector

Previous quasi coupon date for a portfolio of NUMBONDS fixed income securities, whether or not the first or last coupon is normal, short, or long, returned as a NUMBONDS-by-1 vector of previous quasi-coupon dates before settlement. If settlement is a coupon date, this function returns the settlement date.

If all the inputs for Settle, Maturity, IssueDate, FirstCouponDate, and LastCouponDate are either strings or date character vectors, then PreviousQuasiCouponDate is returned as a serial date number. Use the function datetime to convert serial date numbers to formatted date character vectors.

If any of the inputs for Settle, Maturity, IssueDate, FirstCouponDate, and LastCouponDate are datetime arrays, then PreviousQuasiCouponDate is returned as a datetime array.

More About

Quasi-Coupon

A quasi-coupon is a term used in the context of certain fixed-income securities, particularly bonds, that do not pay traditional periodic interest payments (coupons) but instead provide returns in a different manner.

A quasi coupon can include returns that are contingent on certain conditions or linked to the performance of an underlying asset.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although cpndatepq supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.