Coupon period, number of days with settlement

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

Syntax

Coupdays <Basis> (Settlement, Maturity, Frequency)

Where:

Settlement is the settlement date. This is the date, after issue, on which the security is traded.

Maturity is the maturity date. This is the date on which the security expires.

Frequency is the number of coupon payments per year. The valid values are 1, 2, and 4 where annual payments =1, semiannual payments =2, and quarterly payments =4.

Basis is a parameter that indicates the time-count basis to be used. The default value for Basis is 0, which is typically used by American agencies and assumes 30-day months and 360-day years (30/360). Possible values for this parameter are listed in the following table.

Basis value	Application
0 (30/360)	Assumes 30 days in each month, 360 days in each year.
1 (actual/actual)	Assumes actual number of days in each month, actual number of days in each year.
2 (actual/360)	Assumes actual number of days in each month, 360 days in each year.
3 (actual/365)	Assumes actual number of days in each month, 365 days in each year.
4 (30/360)	Used by European agencies, assumes the same values as “0” for American institutions.

Usage Notes

The number of days between milestones is computed depending on the chosen day basis

Coupon functions are defined against the maturity day, depending on frequency

The Settlement date and the Maturity date should be included within single quotations in the expression for the expression to be considered as a valid expression