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Subject: [OASIS Issue Tracker] Commented: (OFFICE-2260) COUPDAYS - Issettlement date a red herring?

    [ http://tools.oasis-open.org/issues/browse/OFFICE-2260?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=16801#action_16801 ] 

Andreas Guelzow  commented on OFFICE-2260:

I am not an financial trader, accountant or so, I am a mathematician so I can only deduct fro things I read. I believe (according to http://www.tvmcalcs.com/bond_terminology):
Coupon Payment Date
    The specified dates (typically two per year) on which interest payments are made.
Maturity Date:
    The date on which the bond ceases to earn interest. On this date, the last interest payment will be made, and the face value of the bond will be repaid. This is also sometimes known as the redemption date.
Settlement Date:
    The date on which ownership of a security actually changes hands. Typically, this is several days after the trade date. In the US markets, the settlement date is usually 3 trading days after the trade date (this is known as T+3). For bonds, a purchaser begins to accrue interest on the settlement date.

If that is right, then 
COUPDAYBS( DATE(1997;11;9); DATE(1999;11;15); 2 )  means
settlement date: DATE(1997;11;9)
maturity date: DATE(1999;11;15)
coupon periods: 6 months

so the coupon periods should end on maturity date and be:
DATE(1997;5;16) to DATE(1997;11;15)
DATE(1997;11;16) to DATE(1998;5;15)
DATE(1998;5;16) to DATE(1998;11;15)
DATE(1998;11;16) to DATE(1999;5;15)
DATE(1999;5;16) to DATE(1999;11;15)

so the settlement date: DATE(1997;11;9) lies in the coupon period:
DATE(1997;5;16) to DATE(1997;11;15)

so the time period in question should be
DATE(1997;5;16) to DATE(1997;11;9) which is 5 months + 15 days + 9 days = 174


> COUPDAYS - Is settlement date a red herring?
> --------------------------------------------
>                 Key: OFFICE-2260
>                 URL: http://tools.oasis-open.org/issues/browse/OFFICE-2260
>             Project: OASIS Open Document Format for Office Applications (OpenDocument) TC
>          Issue Type: Bug
>            Reporter: Patrick Durusau
> I have been puzzling over the difference between COUPDAYS and COUPDAYBS.
> COUPDAYBS - Calculates the number of days between the beginning of athe coupon period that contains the settlement date and the settlement date.
> COUPDAYS - Calculates the number of days in a coupon period that contains a settlement date.
> The syntax is the same and to be honest it took a good deal of looking to uncover the answer (or what I suspect to be the answer).
> COUPDAYBS - Calculates the start date of a coupon period (which is independent of the settlement and settlement date) and then determines the number of days from that date to the settlement date.
> COUPDAYS - Calculates the number of days in a coupon period, a value that is determined by the basis but *not* by the settlement date. Settlement date is in fact irrelevant to the number of days in a coupon period. 
> If that is correct, then the syntax and description of COUPDAYS are incorrect and should be changed. 
> I would recast as follows:
> COUPDAYBS - Calculates the number of days from the start of a coupon period and a settlement date. (Semantics: Day count is for the coupon period that contains the settlement date.)
> COUPDAYS - Calculates the number of days in a coupon period. 
> But then I look at COUPDAYBS, test case 1, COUPDAYBS( DATE(1997;11;9); DATE(1999;11;15); 2 )
> OK, so each coupon period is 6 months (frequency of payment, 2), I assume the first coupon period starts on 1997;11;9, so the coupon periods are:
> 1997;11;9 - 1998;5;9
> 1998;5;9 - 1998;11;9
> 1998;11;9 - 1999;5;9
> 1999;5;9 - 1999;11;9
> 1999;11;9 - 1999;11;15
> Which I make out to be 6 days.
> oops! The correct answer according to test case is 174.
> Well, I am almost certainly missing some assumption or semantic but that means the text is as well. (Does this depend upon coupon periods being based on "whole" months as calculated from the basis setting?)

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