Function SecurityCouponPreviousDate(SettlementDate, MaturityDate, Frequency, PreviousDate)

SecurityCouponPreviousDate

The function SecurityCouponPreviousDate returns the last coupon-date previous to settlement date of a security that pays interest at the end of each coupon period.

SecurityCouponPreviousDate(
    SettlementDate,           ! (input) scalar string expression
    MaturityDate,             ! (input) scalar string expression
    Frequency                 ! (input) numerical expression
    PreviousDate              ! (output) string parameter
    )

Arguments

SettlementDate

The date of settlement of the security. SettlementDate must be in date format.

MaturityDate

The date of maturity of the security. MaturityDate must also be in date format and must be a date after SettlementDate.

Frequency

The number of coupon payments in one year. Frequency must be 1 (annual), 2 (semi-annual) or 4 (quarterly).

PreviousDate

The date on which the coupon period, in which the settlement date falls, starts and on which the previous coupon period ends.

Note

The function SecurityCouponPreviousDate is similar to the Excel function COUPPCD <https://support.microsoft.com/en-us/office/couppcd-function-2eb50473-6ee9-4052-a206-77a9a385d5b3>_.

Example

When was the last coupon issued, when the settlement date is Feb 1, and the coupons are issued quarterly until Jan 1?

SecurityCouponPreviousDate(
        SettlementDate :  "2025-02-01",
        MaturityDate   :  "2030-01-01",
        Frequency      :  4,
        PreviousDate   :  _sp_tcpd);
block where single_column_display := 1, listing_number_precision := 6 ;
        display _sp_tcpd ;
endblock ;

Here it coincides with the start of every quarter, which is also Jan 1:

_sp_tcpd := "2025-01-01" ;

References

• General equations for securities with multiple coupons.