Re: COUP_ bases.

[Neil Booth <neil daikokuya demon co uk>]

Andreas J. Guelzow wrote:-

> 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:

Yup.

> -----------------------------------------------------------------
> 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

No, both for name and description.  Called either "PSA 30/360" or,
only by Excel, "NASD 30/360".  Try (28Feb01,28Feb01) to see why your
description is wrong.  Answer is -2, not zero as your description
would get.

This convention is not used in *any* markets to the best of my
knowledge.  Bloomberg doesn't implement it either, and they cover damn
near everything (albeit with a fair number of bugs, too, but far less
than MS 8^)).  Seems to be at least 5 years old, or a figment of MS's
imagination.

> -----------------------------------------------------------------
> 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.

I don't grok what you're saying here.  There are 2 meanings of
Act/Act, one for bonds, one for swaps.  For bonds its actual days /
actual days (doh! 8^)).

Used for accrued int and yields.

> -----------------------------------------------------------------
> 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

I don't understand what you're saying here either.  Act/360 is as easy
as could be: number of days / 360.  Used only for accrued int, not
yields.  CoupDays seems to period-ize it, but that's a simple issue.

> -----------------------------------------------------------------
> 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)

Number of days / 365.  Easy.  Used for accrued int and yields.

> -----------------------------------------------------------------
> 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

Yup.  Used for accrued int and yields.

> 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:

Yup.  Used for accrued int and yields.

Then there's basis 6:

The real meaning of 30E+360 (30Ep360 as an identifier, say):

d1:  31->30 (as for all 30/360 conventions)
d2:  31->1, m2++ if d1 >= 30.

This is used for calculating yields according to the "EuroBond"
convention.  It's not used for accrued interest.  FWIW.

Neil.