Documentation/How Tos/Calc: COUPDAYS function

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COUPDAYS

Returns the number of days in the coupon period that contains the settlement date.

This function is only available if the Analysis AddIn is installed.

Syntax:

COUPDAYS(settlement; maturity; frequency; basis)

settlement: the date of purchase of the security.
maturity: the date on which the security matures (expires).
frequency: number of interest payments per year (1, 2 or 4).
basis: is the calendar system to use. Defaults to 0 if omitted.
0 - US method (NASD), 12 months of 30 days each
1 - Actual number of days in months, actual number of days in year
2 - Actual number of days in month, year has 360 days
3 - Actual number of days in month, year has 365 days
4 - European method, 12 months of 30 days each

Example:

COUPDAYS("2007-01-25"; "2009-11-15"; 2; 4)

returns 180. A bond is originally issued on 15 November 1999, with a ten year term; the date of maturity is 15 November 2009. You subsequently purchase it on the secondary market, with a settlement date of 25 January 2007; Interest is paid half-yearly (frequency is 2); thus interest is due on the 15 May and the 15 November each year, during the bond's term. Using basis 4, there are 180 days (= 6 * 30) in the interest period in which the settlement date falls (16 November 2006 to 15 May 2007 inclusive = 6 months).

Issues:

  • For any basis except 1, the length of the interest period is calculated from the length of a year. Thus COUPDAYS returns the same number of days (derived from the number of interest periods in a year), regardless of settlement date, unless basis = 1, when the exact number of days are returned.
  • Both Calc and Excel can return a non-integer number of days (including a fraction) - for example COUPDAYS("2007-01-25"; "2009-11-15"; 2; 3) returns 182.5 (= 365/2).




See Also
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