days_to_next_coupon
Evaluates the number of days starting with the settlement date and ending with the next coupon date.
Synopsis
#include <imsl.h>
int imsl_days_to_next_coupon (struct tm settlement, struct tm maturity, int frequency, int basis)
Required Arguments
struct tm 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.
struct tm 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
IMSL_ANNUAL,
IMSL_SEMIANNUAL or
IMSL_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
IMSL_DAY_CNT_BASIS_ACTUALACTUAL,
IMSL_DAY_CNT_BASIS_NASD,
IMSL_DAY_CNT_BASIS_ACTUAL360,
IMSL_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 imsl_days_to_next_coupon 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, imsl_days_to_next_coupon 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.
#include <stdio.h>
#include <imsl.h>
int main()
{
struct tm settlement, maturity;
int frequency = IMSL_SEMIANNUAL;
int basis = IMSL_DAY_CNT_BASIS_ACTUAL365;
int days;
settlement.tm_year = 96;
settlement.tm_mon = 10;
settlement.tm_mday = 11;
maturity.tm_year = 109;
maturity.tm_mon = 2;
maturity.tm_mday = 1;
days = imsl_days_to_next_coupon (settlement, maturity, frequency,
basis);
printf ("The number of days from the settlement date to ");
printf ("the next coupon date is %d.\n", days);
}
Output
The number of days from the settlement date to the next coupon date is 110.