couponDays¶

Evaluates the number of days in the coupon period containing the settlement date.

Synopsis¶

couponDays (settlement, maturity, frequency, basis)

Required Arguments¶

date 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.
date 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 ANNUAL, SEMIANNUAL or 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 DAY_CNT_BASIS_ACTUALACTUAL, DAY_CNT_BASIS_NASD, DAY_CNT_BASIS_ACTUAL360, DAY_CNT_BASIS_ACTUAL365, or 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 couponDays 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, couponDays 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.

from __future__ import print_function
from numpy import *
from datetime import date
from pyimsl.math.couponDays import couponDays, DAY_CNT_BASIS_ACTUAL365, SEMIANNUAL

frequency = SEMIANNUAL
basis = DAY_CNT_BASIS_ACTUAL365

settlement = date(1996, 11, 11)
maturity = date(2009, 3, 1)

coupdays = couponDays(settlement, maturity,
                      frequency, basis)
print("The number of days in the coupon period that")
print("contains the settlement date is %.2f." % (coupdays))

Output¶

The number of days in the coupon period that
contains the settlement date is 182.50.