nextCouponDate

Evaluates the first coupon date which follows the settlement date.

Synopsis

nextCouponDate (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 first coupon date which follows the settlement date.

Description

Function nextCouponDate computes the next coupon date after 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, nextCouponDate computes the next coupon date 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.nextCouponDate import nextCouponDate, DAY_CNT_BASIS_ACTUAL365, SEMIANNUAL

frequency = SEMIANNUAL
basis = DAY_CNT_BASIS_ACTUAL365

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

ncdate = nextCouponDate(settlement, maturity,
                        frequency, basis)
print("The next coupon date after the settlement date is ", ncdate)

Output

The next coupon date after the settlement date is  1997-03-01