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cfdatesq

Quasi-coupon dates for fixed-income security

Description

example

QuasiCouponDates = cfdatesq(Settle,Maturity) returns a matrix of quasi-coupon dates expressed in serial date format (default) or datetime format (if any inputs are in datetime format).

Successive 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. Quasi-coupon dates are determined regardless of whether the first or last coupon periods are normal, long, or short.

QuasiCouponDates has NUMBONDS rows and the number of columns is determined by the maximum number of quasi-coupon dates required to hold the bond portfolio. NaNs are padded for bonds which have less than the maximum number quasi-coupon dates. By default, quasi-coupon dates after settlement and on or preceding maturity are returned. If settlement occurs on maturity, and maturity is a quasi-coupon date, then the maturity date is returned.

example

QuasiCouponDates = cfdatesq(___,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate,PeriodsBeforeSettle,PeriodsAfterMaturity) specifies options using one or more optional arguments in addition to the input arguments in the previous syntax.

Examples

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Compute the quasi-coupon dates given the Settle and Maturity dates.

QuasiCouponDates = cfdatesq('14-Mar-1997', '30-Nov-1998', 2, 0, 1)
QuasiCouponDates = 1×4

      729541      729724      729906      730089

If any of the inputs for Settle, Maturity, IssueDate, FirstCouponDate, or LastCouponDate are datetime arrays, then QuasiCouponDates is returned as a datetime array. For example:

QuasiCouponDates = cfdatesq('14-Mar-1997', datetime('30-Nov-1998','Locale','en_US'), 2, 0, 1)
QuasiCouponDates = 1x4 datetime
   31-May-1997   30-Nov-1997   31-May-1998   30-Nov-1998

Input Arguments

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Settlement date, specified as an NINST-by-1 vector using serial date numbers, cell array of date character vectors, or a datetime array. Settle must be earlier than Maturity.

Data Types: double | char | cell | datetime

Maturity date, specified as an NINST-by-1 vector using serial date numbers, cell array of date character vectors, or a datetime array.

Data Types: double | char | cell | datetime

(Optional) Coupons per year of the bond, specified as a vector of positive integers from the set [1,2,3,4,6,12].

Data Types: double

(Optional) Day-count basis, specified as positive integers using a NINST-by-1 vector.

  • 0 = actual/actual

  • 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 (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: double

(Optional) End-of-month rule flag, specified as a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS 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 coupon payment date is always the same numerical day of the month.

  • 1 = Set rule on, meaning that a bond coupon payment date is always the last actual day of the month.

Data Types: logical

(Optional) Bond Issue date, specified as a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS vector using serial date numbers, date character vectors, or datetime arrays.

If you do not specify an IssueDate, the cash flow payment dates are determined from other inputs.

Data Types: double | char | datetime

Irregular or normal first coupon date, specified as a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS vector using serial date numbers, date character vectors, or datetime arrays.

If you do not specify a FirstCouponDate, the cash flow payment dates are determined from other inputs.

Data Types: double | char | datetime

Irregular or normal last coupon date, specified as a scalar or a NUMBONDS-by-1 or 1-by-NUMBONDS vector using serial date numbers, date character vectors, or datetime arrays.

If you do not specify a LastCouponDate, the cash flow payment dates are determined from other inputs.

Data Types: double | char | datetime

(Optional) Number of quasi-coupon dates on or before settlement to include, specified as a nonnegative integer.

Data Types: double

(Optional) Number of quasi-coupon dates after maturity to include, specified as a nonnegative integer.

Data Types: double

Output Arguments

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Quasi-coupon dates, returned as a N-row matrix of dates in serial date format or datetime format (if any inputs are in datetime format). QuasiCouponDates has NUMBONDS rows and the number of columns is determined by the maximum number of quasi-coupon dates required to hold the bond portfolio. NaNs are padded for bonds which have less than the maximum number quasi-coupon dates. By default, quasi-coupon dates after settlement and on or preceding maturity are returned. If settlement occurs on maturity, and maturity is a quasi-coupon date, then the maturity date is returned.

If all of the inputs for Settle, Maturity, IssueDate, FirstCouponDate, or LastCouponDate are either serial date numbers or date character vectors, then QuasiCouponDates is returned as a serial date number.

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

Introduced before R2006a