COUPON_PCD Function

Evaluates the coupon date which immediately precedes the settlement date.

Usage

result = COUPON_PCD(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 PV‑WAVE User Guide.

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 PV‑WAVE User Guide.

fequency—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/Actual

1—US (NASD) 30/360

2—Actual/360

3—Actual/365

4—European 30/360

Returned Value

result—The coupon date which immediately precedes the settlement date.

Input Keywords

Double—If present and nonzero, double precision is used.

Discussion

Function COUPON_PCD computes the coupon date which immediately precedes 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_PCD computes the previous coupon date of a bond with the settlement date of November 11, 1986, and the maturity date of March 1, 1999, 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_PCD(settlement, maturity, frequency, basis)

DT_TO_STR, ans, d, Date_Fmt=4

PRINT, d

; PV-WAVE prints: 01/September/1996