COUP_ bases.

["Andreas J. Guelzow" <aguelzow taliesin ca>]

Currently the bases are implemented as follows. Likely the names used 
for them are not completely correct. bases 0 to 4 have to be like that 
to match what Excel appears to be doing:

-----------------------------------------------------------------
base 0: BASIS_30Ep360

date adjustment:
to_date is changed from last of month (whether 28, 29, 30, or 31) to 30th
from_date is changed from last of month (whether 28, 29, 30, or 31) to 30th

date difference:
each month 30 days, within a month serial delta

-----------------------------------------------------------------
base 1: BASIS_ACTACT

date adjustment:
no change

date difference:
serial delta

currently serial delta also for length of coupon period but that
is not Excel comp.

-----------------------------------------------------------------
base 2: BASIS_ACT360

date adjustment:
no change

date difference:
serial delta, even for times of 1 year between settlement and
coupon date

360/freq for length of coupon period

-----------------------------------------------------------------
base 3: BASIS_ACT365

date adjustment:
no change

date difference:
serial delta, even for times of 1 year between settlement and
coupon date

365/freq for length of coupon period, (with decimal answer)

-----------------------------------------------------------------
base 4: BASIS_30E360

date adjustment:
from_date is changed from 31st to 30th
to_date is changed from 31st to 30th

date difference:
each month 30 days, within a month serial delta

-----------------------------------------------------------------
base 5: BASIS_30_360

date adjustment:
from_date is changed from 31st to 30th
if from_date is 30 or 31, to_date is changed from 31st to 30thdate 
difference:

date difference:
each month 30 days, within a month serial delta
-----------------------------------------------------------------


Andreas

--
Prof. Dr. Andreas J. Guelzow
http://www.math.concordia.ab.ca/aguelzow