Financial Toolbox

SIA Coupon Date Calculations

Calculating coupon dates, either actual or quasi dates, is notoriously complicated. The Financial Toolbox follows the SIA conventions in coupon date calculations.

The first step in finding the coupon dates associated with a bond is to determine the reference, or synchronization date (the sync date). Within the SIA framework, the order of precedence for determining the sync date is (1) the first coupon date, (2) the last coupon date, and finally (3) the maturity date.

In other words, an SIA-compliant function in the Financial Toolbox first examines the FirstCouponDate input. If FirstCouponDate is specified, coupon payment dates and quasi-coupon dates are computed with respect to FirstCouponDate; if FirstCouponDate is unspecified, empty ([]), or NaN, then the LastCouponDate is examined. If LastCouponDate is specified, coupon payment dates and quasi-coupon dates are computed with respect to LastCouponDate. If both FirstCouponDate and LastCouponDate are unspecified, empty ([]), or NaN, the Maturity (a required input argument) serves as the sync date.

SIA Default Parameter Values

SIA Semi-Annual Yield Conventions