Evaluates the number of days starting with the beginning of the coupon period and ending with the settlement date.

Synopsis

#include <imsl.h>

int imsl_days_before_settlement (struct tm settlement,
struct tm maturity, int frequency, int basis)

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  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  see the Usage Notes section of this chapter.

Return Value

The number of days in the period starting with the beginning of the coupon period and ending with the settlement date.

Description

Function imsl_days_before_settlement computes the number of days from the beginning of the coupon period to 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_days_before_settlement computes the number of days from the beginning of the coupon period to November 11, 1996, of a bond with the maturity date of March 1, 2009, using the Actual/365 day count method.

 

#include <stdio.h>

#include "imsl.h"

 

void main()

{

  struct tm settlement, maturity;

  int frequency = IMSL_SEMIANNUAL;

  int basis = IMSL_DAY_CNT_BASIS_ACTUAL365;

  int days;

 

  settlement.tm_year = 96;

  settlement.tm_mon = 10;

  settlement.tm_mday = 11;

 

  maturity.tm_year = 109;

  maturity.tm_mon = 2;

  maturity.tm_mday = 1;

 

  days = imsl_days_before_settlement (settlement, maturity,

                                   frequency, basis);

 

  printf ("The number of days from the beginning of the\n");

  printf ("coupon period to the settlement date is %d.\n", days);

}

Output

The number of days from the beginning of the

coupon period to the settlement date is 71.

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