Re: COUP_ bases.

[Neil Booth <neil daikokuya demon co uk>]

Andreas J. Guelzow wrote:-

> > 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.
>
>
> Pardon? Considering that you haven't seen the code yet, you would neeed 
> to trust me that that is in fact what my current code has to do to Match 
> XL.In XL when you calculate COUPDAYBS ("28-Feb-2001","28-Feb-2002",1,0) 
> you get: 0 _not_ -2.

But what you claim is not what I wrote.

> Well XL seems to calculate this simply as the difference of the date 
> serial numbers, except when it tries to calculate COUPDAYS.

Could you elaborate?  What does it do for coupdays?  There is no doubt
in my mind about what Act/Act is; and Excel in all my tests was
identical.  Gnumeric as of yesterday didn't do it.

> > 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.
>
> What do you expect COUPNCD ("28-Feb-2003","29-Feb-2004",1,2) or
> COUPNCD ("28-Feb-2003","29-Feb-2004",1,2) to be in XL ?  Well neither is 
> 360! Therefore what do you mean with number of days / 360 ? Remember 
> these distance functions usually return integers.

Right, I didn't say 360, I said number of days.  In your examples this
is 366.  There is no doubt about what this convention means; everyone
uses it and it couldn't be simpler.  For accrued interest, you would
therefore get 366/360 * CouponRate.

Neil.