daysToNextCoupon¶

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

Synopsis¶

daysToNextCoupon (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 IMSL_DAY_CNT_BASIS_30E36. For a more detailed discussion see the Usage Notes section of this chapter.

Return Value¶

The number of days starting with the settlement date and ending with the next coupon date.

Description¶

Function daysToNextCoupon computes the number of days from the settlement date to the next coupon date. For a good discussion on day count basis, see SIA Standard Securities Calculation Methods 1993, vol. 1, pp. 17-35.

Example¶

In this example, daysToNextCoupon computes the number of days from November 11, 1996, to the next coupon date 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.daysToNextCoupon import daysToNextCoupon, DAY_CNT_BASIS_ACTUAL365, SEMIANNUAL

frequency = SEMIANNUAL
basis = DAY_CNT_BASIS_ACTUAL365

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

days = daysToNextCoupon(settlement, maturity,
                        frequency, basis)
print("The number of days from the settlement date to", end=' ')
print("the next coupon date is ", days)

Output¶

The number of days from the settlement date to the next coupon date is  110