COUPON_DAYS Function

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

Usage

result = COUPON_DAYS (settlement, maturity, frequency, basis)

Input Parameters

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 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 Guide.

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

1—One payment per year (Annual payment)

2—Two payments per year (Semi-annual payment)

4—Four payments per year (Quarterly payment)

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

0—Actual/Actual

1—US (NASD) 30/360

2—Actual/360

3—Actual/365

4—European 30/360

Returned Value

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

Input Keywords

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

Discussion

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.

Example

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