coupon Days After Set

Dependents

this module uses 16 subunits YearBasisYearlyFreqcouponNextDatecouponDaysToSetcouponDaysInPeriodyeardateYMDdayincMonthdatedateDiff360couponPrevDatedateDiffconstantsdaysInMonthisLeapYear

Interface

CouponDaysAfterSet

This function computes the number of days from the settlement date to the next coupon date. The year basis is taken into account.

For a security, the settlement date is the date after issue when the security is traded to the buyer. The maturity date is the date at which the security expires.

Example 1

#include <stdio.h>
 
#include <codecogs/units/date/date.h>
#include <codecogs/units/date/dateymd.h>
#include <codecogs/finance/banking/coupondaysafterset.h>
 
int main(void)
{
  int settDate=Units::Date::date(1998, 1, 25);
  int maturityDate=Units::Date::date(1999, 11, 15);
 
  int days=Finance::Banking::couponDaysAfterSet(settDate,
                                                maturityDate,
                                                Finance::Banking::yf_SemiAnnual,
                                                Finance::Banking::yb_Act);
  int y, m, d;
 
  Units::Date::dateYMD(settDate, y, m, d);
  printf("settlement=%i/%i/%i\n", y, m, d);
 
  Units::Date::dateYMD(maturityDate, y, m, d);
  printf("maturity=%i/%i/%i\n", y, m, d);
 
  printf("days after settlement=%i\n", days);
 
  return 0;
}

Output:

settlement=1998/1/25
maturity=1999/11/15
days after settlement=110

The yearly frequency to be used in financial calculations

Type	Description
yf_Annual	Payments are made annually.
yf_SemiAnnual	Payments are semi-annual (2 per year).
yf_Quarterly	Payments are quarterly (4 per year).

Authors

James Warren (August 2005)

Type	Value	Description
yb_US	0	US (NASD) 30/360 - As with the European 30/360 (yb_EU, with the additional provision that if the end date occurs on the 31st of a month it is moved to the 1st of the next month if the start date is earlier than the 30th.
yb_Act	1	Uses the exact number of elapsed days between the two dates, as well as the exact length of the year.
yb_Act360	2	Uses the exact number of elapsed days between two dates but assumes the year only have 360 days
yb_Act365	3	Uses the exact number of elapsed days between two dates but assumes the year always has 365 days
yb_EU	4	European 30/360 - Each month is assumed to have 30 days, such that the year has only 360 days. Start and end dates that occur on the 31st of a month become equal to the 30th of the same month.

Parameters

sett	The settlement date, expressed as a serial Julian date.
mat	The maturity date of the settlement, expressed as a serial Julian date.
freq	The frequency with which payments are made:
basis	The year basis to use for the calculation:

Returns

The number of days to the next coupon date.

Authors

James Warren (August 2005)

Source Code

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