COUPON_NCD Function
Evaluates the first coupon date which follows the settlement date.
Usage
result = COUPON_NCD(settlement, maturity, frequency, basis)
Input Parameters
settlement—The date on which payment is made to settle a trade. For a more detailed discussion on dates see Chapter 8, Working with Date/Time Data in the .
maturity—The date on which the bond comes due, and principal and accrued interest are paid. For a more detailed discussion on dates see Chapter 8, Working with Date/Time Data in the .
frequency—Frequency of the interest payments. It should be 1, 2, or 4.
1—One payment per year (Annual payment)2—Two payments per year (Semi-annual payment)4—Four payments per year (Quarterly payment)basis—The method for computing the number of days between two dates. It should be 0, 1, 2, 3, or 4.
0—Actual/Actual1—US (NASD) 30/3602—Actual/3603—Actual/3654—European 30/360Returned Value
result—The first coupon date which follows the settlement date.
Input Keywords
Double—If present and nonzero, double precision is used.
Discussion
Function COUPON_NCD computes the next coupon date after the settlement date. For a good discussion on day count basis, see SIA Standard Securities Calculation Methods 1993, vol 1, pages 17-35.
Example
In this example, COUPON_NCD computes the next coupon date of a bond with the settlement date of November 11, 1996, and the maturity date of March 1, 2009, using the Actual/365 day count method.
settlement = VAR_TO_DT(1996, 11, 11)
maturity = VAR_TO_DT(2009, 3, 1)
frequency = 2
basis = 3
ans = COUPON_NCD(settlement, maturity, frequency, basis)
DT_TO_STR, ans, d, Date_Fmt=4
; PV-WAVE prints: 01/March/1997
