coupon_number
Evaluates the number of coupons payable between the settlement date and the maturity date.
Synopsis
#include <imsl.h>
int imsl_coupon_number (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 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 see the
Usage Notes section of this chapter.
Return Value
The number of coupons payable between the settlement date and the maturity date.
Description
Function imsl_coupon_number computes the number of coupons payable between the settlement date and the maturity 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_coupon_number computes the number of coupons payable 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;
int coupnum;
settlement.tm_year = 96;
settlement.tm_mon = 10;
settlement.tm_mday = 11;
maturity.tm_year = 109;
maturity.tm_mon = 2;
maturity.tm_mday = 1;
coupnum = imsl_coupon_number (settlement, maturity, frequency, basis);
printf ("The number of coupons payable between the\n");
printf ("settlement date and the maturity date is %d.\n", coupnum);
}
Output
The number of coupons payable between the
settlement date and the maturity date is 25.