Re: COUP_ bases.

Neil Booth wrote:

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.

XL does not implement a function that calulcates simply the difference of 2 dates. THerefore there is no way to directly calculate what you are asking. COUPDAYBS ("28-Feb-2001","28-Feb-2002",1,0) does it indirectly since COUPPCD ("28-Feb-2001","28-Feb-2002",1,0) = 28-Feb-2001.

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 send you an example of 2 calculations from XL earlier and you claimed yourself that one didn't make sense.

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.

I guess hte standard notation is completely screwed up then: in 30/360 the numerator sees to refer to days per month.

 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.

We are working on the coup _ functions. They have little to do with accrued interest etc.


Prof. Dr. Andreas J. Guelzow

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