*From*: "Andreas J. Guelzow" <aguelzow taliesin ca>*To*: Neil Booth <neil daikokuya demon co uk>*Cc*: gnumeric-list <gnumeric-list gnome org>, Jody Goldberg <jody gnome org>*Subject*: Re: COUP_ bases.*Date*: Tue, 15 Jan 2002 18:27:12 -0700

Neil Booth wrote:

Andreas J. Guelzow wrote:-Currently the bases are implemented as follows. Likely the names usedfor them are not completely correct. bases 0 to 4 have to be like thatto 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 deltaNo, 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.

Which name should we use? Remember _this_ _is_ the default!

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.

If this is what XL does the only question is what is an appropriate name.

----------------------------------------------------------------- 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 periodI 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.

What do you expect COUPNCD ("28-Feb-2003","29-Feb-2004",1,2) or

----------------------------------------------------------------- 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 deltaYup. Used for accrued int and yields.base 5: BASIS_30_360 date adjustment: from_date is changed from 31st to 30thif from_date is 30 or 31, to_date is changed from 31st to 30thdatedifference: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.

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

**Follow-Ups**:**Re: COUP_ bases.***From:*Andreas J. Guelzow

**Re: COUP_ bases.***From:*Neil Booth

**References**:**COUPDAYS Help needed***From:*Andreas J. Guelzow

**Re: COUPDAYS Help needed***From:*Dave Reed

**Re: COUPDAYS Help needed***From:*Andreas J. Guelzow

**Re: COUPDAYS Help needed***From:*Neil Booth

**Re: COUPDAYS Help needed***From:*Andreas J. Guelzow

**Re: COUPDAYS Help needed***From:*Neil Booth

**Re: COUPDAYS Help needed***From:*Andreas J. Guelzow

**Re: COUPDAYS Help needed***From:*Neil Booth

**Re: COUPDAYS Help needed***From:*Andreas J. Guelzow

**COUP_ bases.***From:*Andreas J. Guelzow

**Re: COUP_ bases.***From:*Neil Booth

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