2.1.1073 Part 1 Section 18.17.7.353, YIELD

  • Article

a.   The standard does not describe day and month adjustments.

In Excel, the basis argument specifies the truncated integer type of day count basis to use, as follows:

Value

Day Count Basis

0 or omitted

US (NASD) 30/360.Assumes that each month has 30 days and the total number of days in the year is 360 by making the following adjustments:

  • If the date is 28 or 29 February, it is adjusted to 30 February.

  • For months with 31 days, all dates with a day value of 31 are changed to day 30, including situations where the first date is 28 or 29 February.

1

Actual/actual. The actual number of days between the two dates are counted. If the date range includes the date 29 February, the year is 366 days; otherwise it is 365 days.

2

Actual/360. Similar to Basis 1, but only has 360 days per year.

3

Actual/365. Similar to Basis 1, but always has 365 days per year.

4

European 30/360. The European method for adjusting day counts. Assumes that each month has 30 days and the total number of days in the year is 360 by making the following adjustments:

If the date is 28 or 29 February, it is adjusted to 30 February.

For months with 31 days, all dates with a day value of 31 are changed to day 30, including situations where the first date is 28 or 29 February.

b.   The standard states that the redemption argument is the security's redemption value per $100 face value.

In Office the redemption argument is the security's redemption value per 100 currency units face value.

c.   The standard describes the argument pr as the security's price.

In Office, the argument pr is the security's price per 100 currency units face value.

d.   The standard describes the argument rate as the security's interest rate.

In Office, the argument rate is the security's annual coupon rate.