cpndaten

Next coupon date for fixed-income security

Syntax

NextCouponDate = cpndaten(Settle,Maturity)

NextCouponDate = cpndaten(___,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate)

Description

NextCouponDate = cpndaten(Settle,Maturity) returns the next coupon date after the Settle date. This function finds the next coupon date whether or not the coupon structure is synchronized with the Maturity date.

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

NextCouponDate = cpndaten(___,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate) returns the next coupon date after the Settle date using optional input arguments.

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 serial date numbers or date character vectors, then NextCouponDate is returned as a serial date number. The function datestr converts a serial date number to a formatted date character vector.

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

Examples

Calculate the Next Coupon Date After the Settlement Date

Determine the NextCouponDate when using character vectors for input arguments.

NextCouponDate = cpndaten('14-Mar-1997', '30-Nov-2000', 2, 0, 0);
datestr(NextCouponDate)

ans = 
'30-May-1997'

Determine the NextCouponDate when using datetime arrays for input arguments.

NextCouponDate = cpndaten('14-Mar-1997', datetime('30-Nov-2000','Locale','en_US'),...
2, 0, 0)

NextCouponDate = datetime
   30-May-1997

Determine the NextCouponDate when using character vectors for input arguments and the optional argument for EndMonthRule.

NextCouponDate = cpndaten('14-Mar-1997', '30-Nov-2000', 2, 0, 1);
datestr(NextCouponDate)

ans = 
'31-May-1997'

Determine the NextCouponDate when using an input vector for Maturity.

Maturity = ['30-Sep-2000'; '31-Oct-2000'; '30-Nov-2000'];
NextCouponDate = cpndaten('14-Mar-1997', Maturity);
datestr(NextCouponDate)

ans = 3x11 char array
    '31-Mar-1997'
    '30-Apr-1997'
    '31-May-1997'

Input Arguments

Settle — Settlement date

serial date numbers | date character vector | datetime object

Settlement date, specified as a vector of serial date number, date character vector, or datetime array. Settle must be earlier than Maturity.

Data Types: double | char | datetime

Maturity — Maturity date

serial date number | date character vector | datetime array

Maturity date, specified as a vector of serial date numbers, date character vectors, or datetime arrays.

Data Types: double | char | 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 bond

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

Day-count basis of the bond, 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 scalar nonnegative integer [0, 1] or a 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

serial date number | date character vector | datetime array

Bond issue date, specified as a serial date number, date character vector, or datetime array.

Data Types: double | char | datetime

FirstCouponDate — Date when bond makes first coupon payment

serial date number | date character vector | datetime array

Date when a bond makes its first coupon payment, specified as a serial date number, date character vector, or datetime array.

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.

Data Types: double | char | datetime

LastCouponDate — Last coupon date of bond before maturity date

serial date number | date character vector | datetime array

Last coupon date of a bond before maturity date, specified as a serial date number, date character vector, or datetime array.

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.

Data Types: double | char | datetime

Output Arguments

NextCouponDate — Next coupon date after the settlement date

vector

Next coupon date after the settlement date, returned as an NUMBONDS-by-1 vector of next actual coupon dates after settlement. If settlement is a coupon date, this function never returns the settlement date. Instead, the actual coupon date strictly after settlement is returned, but not exceeding the maturity date. Thus, this function will always return the lesser of the actual maturity date and the next coupon payment date.

If all the inputs for Settle, Maturity, IssueDate, FirstCouponDate, and LastCouponDate are either serial date numbers or date character vectors, then NextCouponDate is returned as a serial date number. The function datestr converts a serial date number to a formatted date character vector.

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