Users can perform financial computations by using pre-defined data types. Most of the financial functions require one or more of the following:

•      Date

•      Number of payments per year

•      A variable to indicate when payments are due

•      Day count basis

IMSL C/Math/Library provides the identifiers for the input, frequency, to indicate the number of  payments for each year. The identifiers are IMSL_ANNUAL, IMSL_SEMIANNUAL, and IMSL_QUARTERLY.

Identifier (frequency)	Meaning
IMSL_ANNUAL	One payment per year (Annual payment)
IMSL_SEMIANNUAL	Two payments per year  (Semi-annual payment)
IMSL_QUARTERLY	Four payments per year (Quarterly payment)

IMSL C/Math/Library provides the identifiers for the input, when, to indicate when payments are due. The identifiers are IMSL_AT_END_OF_PERIOD, IMSL_AT_BEGINNING_OF_PERIOD.

 

Identifier (when)	Meaning
IMSL_AT_END_OF_PERIOD	Payments are due at the end of the period
IMSL_AT_BEGINNING_OF_PERIOD	Payments are due at the beginning of the period

IMSL C/Math/Library provides the identifiers for the input, basis, to indicate the type of day count basis. Day count basis is the method for computing the number of days between two dates. The identifiers are IMSL_DAY_CNT_BASIS_NASD, IMSL_DAY_CNT_BASIS_ACTUALACTUAL, IMSL_DAY_CNT_BASIS_ACTUAL360, IMSL_DAY_CNT_BASIS_ACTUAL365, and IMSL_DAY_CNT_BASIS_30E360.

 

Identifier (basis)	Day count basis
IMSL_DAY_CNT_BASIS_NASD	US (NASD) 30/360
IMSL_DAY_CNT_BASIS_ACTUALACTUAL	Actual/Actual
IMSL_DAY_CNT_BASIS_ACTUAL360	Actual/360
IMSL_DAY_CNT_BASIS_ACTUAL365	Actual/365
IMSL_DAY_CNT_BASIS_30E360	European 30/360

 

IMSL C/Math/Library uses the C programming language structure, tm, provided in the standard header <time.h>, to represent a date. For a detailed description of tm, see  Kernighan and Richtie 1988, The C Programming Language, Second Edition, p 255.

The structure tm is declared within <time.h> as follows:

struct  tm {
       int     tm_sec;
       int     tm_min;
       int     tm_hour;
       int     tm_mday;
       int     tm_mon;
       int     tm_year;
       int     tm_wday;
       int     tm_yday;
       int     tm_isdst;
};

For example, to declare a variable to represent Jan 1, 2001, use the following code segment:

struct tm date;

 

date.tm_year = 101;

date.tm_mon = 0;

date.tm_mday = 1;

 

Additional Information

In preparing the finance and bond functions we incorporated standards used by
SIA Standard Securities Calculation Methods.

More detailed information on finance and bond functionality can be found in the following manuals:

•      SIA Standard Securities Calculation Methods 1993, vols. 1 & 2, Third Edition.

•      Accountants' Handbook, Volume 1, Sixth Edition.

•      Microsoft Excel 5, Worksheet Function Reference.

Visual Numerics, Inc. Visual Numerics - Developers of IMSL and PV-WAVE http://www.vni.com/ PHONE: 713.784.3131 FAX:713.781.9260