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

settlement—The date on which payment is made to settle a trade. For a more detailed discussion on dates see Chapter 8, Working with Date/Time Data in the PV‑WAVE User’s Guide.

maturity—The date on which the bond comes due, and principal and accrued interest are paid. For a more detailed discussion on dates see Chapter 8, Working with Date/Time Data in the PV‑WAVE User’s Guide.

frequency—Frequency of the interest payments. It should be 1, 2, or 4.

basis—The method for computing the number of days between two dates. It should be 0, 1, 2, 3 or 4.

result—The number of days in the coupon period which contains the settlement date. If no result can be computed, NaN is returned.

Double—If present and nonzero, double precision is used.

Function COUPON_DAYS 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.

In this example, COUPON_DAYS 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.

settlement = VAR_TO_DT(1996, 11, 11)

maturity = VAR_TO_DT(2009, 3, 1)

frequency = 2

basis = 3

PRINT, COUPON_DAYS(settlement, maturity, frequency, basis)

; PV-WAVE prints: 182.500