daysBeforeSettlement¶

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

Synopsis¶

daysBeforeSettlement (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 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 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 daysBeforeSettlement 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, daysBeforeSettlement 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.

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

frequency = SEMIANNUAL
basis = DAY_CNT_BASIS_ACTUAL365
settlement = date(1996, 11, 11)
maturity = date(2009, 3, 1)

days = daysBeforeSettlement(settlement, maturity,
                            frequency, basis)
print("The number of days from the beginning of the")
print("coupon period to the settlement date is ", days)

Output¶

The number of days from the beginning of the
coupon period to the settlement date is  71