Re: COUP_ bases.

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

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.


Andreas

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