SETTLEMENT_DB Function

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

Usage

result = SETTLEMENT_DB(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 period starting with the beginning of the coupon period and ending with the settlement date.

Input Keywords

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

Discussion

Function SETTLEMENT_DB 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, SETTLEMENT_DB 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.

settlement = VAR_TO_DT(1996, 11, 11)

maturity = VAR_TO_DT(2009, 3, 1)

frequency = 2

basis = 3

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

; PV-WAVE prints: 71