coupon Days In Period

Dependents

this module uses 12 subunits dateDiffincMonthYearBasisYearlyFreqcouponPrevDatedateYMDdaysInMonthdateyeardayconstantsisLeapYear

Interface

CouponDaysInPeriod

Calculate the number of days in the coupon period that contains the settlement date. The number of days returned depends on the year basis specified:

For yb_USA, yb_EU and yb_Act360 the returned value is:

Where freq is the number of times per year the payment is made (1 for yf_Annual, 2 for yf_SemiAnnual or 4 for yf_Quarterly).

For yb_Act365 the returned value is: (Using integer division)

Finally, for yb_Act, the exact number of days between the two dates (taking into account leap years) is returned.

Example 1

#include <stdio.h>
 
#include <codecogs/units/date/date.h>
#include <codecogs/units/date/dateymd.h>
#include <codecogs/finance/banking/coupondaysinperiod.h>
 
int main(void)
{
  int settDate=Units::Date::date(1998, 1, 25);
  int maturityDate=Units::Date::date(1999, 11, 15);
  int days=Finance::Banking::couponDaysInPeriod(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 in period=%i\n", days);
 
  return 0;
}

Output:

settlement=1998/1/25
maturity=1999/11/15
days in period=181

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)

<div class="errorbox">The module YearBasis. does not yet exist on the system. Should this persist please contact the website administrator.</div>

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 in the coupon period.

Authors

James Warren (August 2005)

Source Code

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