couponNumber¶
Evaluates the number of coupons payable between the settlement date and the maturity date.
Synopsis¶
couponNumber (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
orQUARTERLY
. For a more detailed discussion onfrequency
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
, orDAY_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 couponNumber
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, couponNumber
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.
from __future__ import print_function
from numpy import *
from datetime import date
from pyimsl.math.couponNumber import couponNumber, DAY_CNT_BASIS_ACTUAL365, SEMIANNUAL
frequency = SEMIANNUAL
basis = DAY_CNT_BASIS_ACTUAL365
settlement = date(1996, 11, 11)
maturity = date(2009, 3, 1)
coupnum = couponNumber(settlement, maturity,
frequency, basis)
print("The number of coupons payable between the")
print("settlement date and the maturity date is %d." % (coupnum))
Output¶
The number of coupons payable between the
settlement date and the maturity date is 25.