coupon_days
Evaluates the number of days in the coupon period containing the settlement date.
Synopsis
#include <imsl.h>
float imsl_f_coupon_days (struct tm settlement, struct tm maturity, int frequency, int basis)
The type double function is imsl_d_coupon_days.
Required Arguments
struct tm settlement (Input)
The date on which payment is made to settle a trade. For a more detailed discussion on dates see the
Usage Notes section of this chapter.
struct tm maturity (Input)
The date on which the bond comes due, and principal and accrued interest are paid. For a more detailed discussion on dates see the
Usage Notes section of this chapter.
int frequency (Input)
Frequency of the interest payments. It should be one of
IMSL_ANNUAL,
IMSL_SEMIANNUAL or
IMSL_QUARTERLY. For a more detailed discussion on
frequency see the
Usage Notes section of this chapter.
int basis (Input)
The method for computing the number of days between two dates. It should be one of
IMSL_DAY_CNT_BASIS_ACTUALACTUAL,
IMSL_DAY_CNT_BASIS_NASD,
IMSL_DAY_CNT_BASIS_ACTUAL360,
IMSL_DAY_CNT_BASIS_ACTUAL365, or
IMSL_DAY_CNT_BASIS_30E360. For a more detailed discussion on
basis see the
Usage Notes section of this chapter.
Return Value
The number of days in the coupon period which contains the settlement date. If no result can be computed, NaN is returned.
Description
Function imsl_f_coupon_days computes the number of days in the coupon period that contains the settlement date. For a good discussion on day count basis, see SIA Standard Securities Calculation Methods 1993, vol. 1, pages 17-35.
Example
In this example, imsl_f_coupon_days computes the number of days in the coupon period of a bond with the settlement date of November 11, 1996, and the maturity date of March 1, 2009, using the Actual/365 day count method.
#include <stdio.h>
#include <imsl.h>
int main()
{
struct tm settlement, maturity;
int frequency = IMSL_SEMIANNUAL;
int basis = IMSL_DAY_CNT_BASIS_ACTUAL365;
float coupdays;
settlement.tm_year = 96;
settlement.tm_mon = 10;
settlement.tm_mday = 11;
maturity.tm_year = 109;
maturity.tm_mon = 2;
maturity.tm_mday = 1;
coupdays = imsl_f_coupon_days (settlement, maturity, frequency,
basis);
printf ("The number of days in the coupon period that\n");
printf ("contains the settlement date is %.2f.\n", coupdays);
}
Output
The number of days in the coupon period that
contains the settlement date is 182.50.
