COUPDAYBS(settlement, maturity, frequency, basis)

The COUPDAYBS function calculates the number of days from the beginning of the coupon period to the settlement date. The function arguments are:

settlement

is the settlement date of the security, expressed as a date code

maturity

is the maturity date of the security, expressed as a date code

frequency

is the number of coupon payments per year (1 = annually; 2 = biannually; 4 = quarterly)

basis

is the type of day count basis used, where basis is one of the following:

Basis

Day count basis

0

US 30/360

1

Actual/actual

2

Actual/360

3

Actual/365

4 or omitted

European 30/360

For example, you have been issued with a bond that comes to maturity on August 31st 1998, the settlement date is July 15th 1997, the coupon payments are quarterly, and the day count basis is actual/actual. Using the formula

COUPDAYBS(35625, 36037, 4, 1)

returns 45 as the number of days from the beginning of the coupon period to the settlement date.

See also:

Other financial functions