Determining coupon payments for bonds

nickf314 — Tue, 15 Sep 2015 18:33:45 GMT

Hello-

I have a dataset of bonds that have been traded in a seconday market, and these bonds pay a coupon (interest) payment every 6 months until they mature. I would like to determine the date of the first coupon payment after the trade occurs. I know the following:

-the date of the first ever coupon date in the lifetime of the bond

-the date that the bond traded

Is there a SAS function that wil tell me, for each bond, what the date of the next coupon payment immediately following the trade is (by somehow comparing the first coupon payment date, the trade date, and the fact that the bonds pay a coupon every 6 months)? Any help is appreciated. Thanks!

Nick

Re: Determining coupon payments for bonds

ballardw — Tue, 15 Sep 2015 21:34:04 GMT

I am NOT a finance guru so I cannot answer directly. There is a datastep function called FINANCE that has as an argument many common finance activities. I suspect that using the results from one or more of the COUP elements you can generate the pieces you need. I'm not sure how COUPDAYSNC, COUPNCD, COUPPCD etc relate as they are defined in terms of "settlement date" which I'm not sure how that relates to your trade date. Perhaps you have better understanding there.

topic Re: Determining coupon payments for bonds in SAS Programming

Determining coupon payments for bonds

Re: Determining coupon payments for bonds