2.1.1075 Part 1 Section 18.17.7.355, YIELDMAT

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a.   The standard does not specify day and month adjustments for the basis argument.

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. If the dates are equal, the difference of days is 0. Assumes that each month has 30 days and the total number of days in the year is 360 by making the following adjustments:

If both day-of-months are 31, they are changed to 30

Otherwise, if date1’s day-of-month is 31, it is changed to 30

Otherwise, if date1’s day-of-month is 30 and date2’s day-of-month is 31, date2’s day-of-month is changed to 30 (note that date2’s day-of-month will stay 31 if date1’s day < 30)

Otherwise, if both dates are the last day of February in their respective years, both day-of-month is changed to 30

Otherwise, if date1 is the last day of February, its day-of-month is changed to 30

1

Actual/actual. If the dates are equal, the difference in days is 0. If date1 and date2 not “less than or equal to a year apart” (as defined below), then the days in the years between the dates is the average number of days in the years between date1 and date2, inclusive. Otherwise, the days in the years between the dates is 365, except for these cases (where it is 366): the dates are in the same year and it is a leap-year, a February 29 occurs between the two dates, or date1 or date2 is February 29.

To determine if date1 and date2 are “less than or equal to a year apart” for purposes of this algorithm, one of these conditions must be true:

  • The two dates have the same year

  • Date2’s year is exactly one more than date1’s year, and ((date1.month > date2.month) or ((date1.month == date2.month) and (date1.day >= date2.day)))

2

Actual/360. Computes the actual difference in days, and presumes there are always 360 days per year.

3

Actual/365. Computes the actual difference in days, and presumes there are always 365 days per year.

4

European 30/360. The European method for adjusting day counts. If the dates are equal, the difference of days is 0. Assumes that each month has 30 days and the total number of days in the year is 360; any day-of-month (in date1, date2, or both) with a value of 31 is changed to 30. Note that February dates are never changed, because there is no February 31.

b.   The standard specifies pr argument as the security's price.

Office treats pr argument as the security's price per 100 currency units face value.

c.   The standard states if rate or pr ≤ 0, #NUM! is returned.

Office returns #NUM! if pr is less than or equal to 0, or if rate is less than 0.

d.   The standard does not describe a restriction on the relative values of issue and settlement.

Office returns #NUM! if issue ≥ settlement.