Several financial functions depends on the accuracy of the "day count basis" value, which is not defined in the specification. Potential implementers would need a consistent definition of this "value" to produce an accurate and uniform implementation of these functions.
The absence of a definition could mean, that different implementation could deliver different results, providing the same input, this would mean, that there is no compatibility between different implementation of the specification.
The absence of a definition could mean, that different implementation could deliver different results, providing the same input, this would mean, that there is no compatibility between different implementation of the specification.
Unambiguous definition of day count basis is necessary. ISO/IEC 15022 and part 4 3.17.4.
Starting on page 2507 Part 4
Section 3.17
Ed
Proposed Disposition of DIS 29500 Comment DK-0056 (Modified: 2008-01-13) We agree that the “day count basis” is used in various places without being clearly defined. The function definitions in which it appears are: §3.17.7.2, page 2,534: ACCRINT() §3.17.7.3, page 2,535: ACCRINTM() §3.17.7.7, page 2,538: AMORDEGRC §3.17.7.8, page 2,540: AMORLINC §3.17.7.57, page 2,583: COUPDAYBS() §3.17.7.58, page 2,584: COUPDAYS() §3.17.7.59, page 2,585: COUPDAYSNC() §3.17.7.60, page 2,586: COUPNCD() §3.17.7.61, page 2,587: COUPNUM() §3.17.7.62, page 2,588: COUPPCD() §3.17.7.91, page 2,6162,617: DISC() §3.17.7.101, page 2,624: DURATION() §3.17.7.170, page 2,680: INTRATE §3.17.7.206, page 2,708: MDURATION() §3.17.7.238, page 2,735: ODDFPRICE() §3.17.7.239, page 2,736: ODDFYIELD() §3.17.7.240, page 2,737: ODDLPRICE() §3.17.7.241, page 2,739: ODDLYIELD() §3.17.7.254, page 2,750: PRICE() §3.17.7.255, page 2,751: PRICEDISC() §3.17.7.256, page 2,7522,753: PRICEMAT() §3.17.7.268, page 2,762: RECEIVED() §3.17.7.348, page 2,826: YEARFRAC §3.17.7.349, page 2,828: YIELD() §3.17.7.350, page 2,829: YIELDDISC() §3.17.7.351, page 2,829: YIELDMAT The table row which appears in each of these functions will be modified to read: Name Type Description Name Type Description basis number The truncated integer type of day count basis to use, as follows: Value Day Count Basis 0 or omitted US (NASD) 30/360 . This uses 30 days a month for a total of 360 days a year. 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, if the first date has a day value of 31, the date is converted to day 30. If the second date has a day value of 31, it is changed to 30 days as long as the first date was not 28 or 29 February, in which case it does not change. 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. Name Type Description 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 starting and ending dates that occur on the 31st of the month. [Example: If the starting or ending date is the 31st of a month, it then becomes equal to the thirtieth of the same month. end example] 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 28 and 29 February. Similar Comments: CL-0143 , CO-0151 , FR-0426 , GB-0359 , GR-0102 , IE-0008 , US-0047 , US-0172
