09-15-2015 02:33 PM
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!
09-15-2015 05:34 PM
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.