M
Mathieu Fortin
Hi all,
I'm trying to price a Bond (quite special)
issue date: 28-Feb-2007
maturity date: 28-Feb-2009
frequency: 4
first coupon date: 28-May-2007
Settlement date: 28-Aug-2007
I'm using the COUP* functions and using the COUPNCD function with the
information given here you should get 31-Aug-2007 which is incorrect
for this Bond (28-Aug-2007, because it's a special one!) as it was
issued on the last day of a month but has coupon payment dates on the
28th of the month.
I believe that it is normally quite standard for a bond issued on the
last day of the month to have coupon payment date on the last day of
the months concerned, so I do not believe it is a bug with the
function.
I've tried changing the date basis convention (e.g. 30/360) but it
doesn't help.
Would there be any options I'm missing to force the next coupon date
(or previous, and any COUP*) functions to consider the coupon payment
date as being on the 28th?
Cheers,
Mathieu
I'm trying to price a Bond (quite special)
issue date: 28-Feb-2007
maturity date: 28-Feb-2009
frequency: 4
first coupon date: 28-May-2007
Settlement date: 28-Aug-2007
I'm using the COUP* functions and using the COUPNCD function with the
information given here you should get 31-Aug-2007 which is incorrect
for this Bond (28-Aug-2007, because it's a special one!) as it was
issued on the last day of a month but has coupon payment dates on the
28th of the month.
I believe that it is normally quite standard for a bond issued on the
last day of the month to have coupon payment date on the last day of
the months concerned, so I do not believe it is a bug with the
function.
I've tried changing the date basis convention (e.g. 30/360) but it
doesn't help.
Would there be any options I'm missing to force the next coupon date
(or previous, and any COUP*) functions to consider the coupon payment
date as being on the 28th?
Cheers,
Mathieu