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Excel COUPDAYBS Function

Excel COUPDAYBS function
Summary 
The Excel COUPDAYBS function returns the number of days from the beginning of the coupon period to the settlement date.
Purpose 
Get days from coupon period to settlement date
Return value 
Days as a number
Syntax 
=COUPDAYBS (settlement, maturity, frequency, [basis])
Arguments 
  • settlement - Settlement date of the security.
  • maturity - Maturity date of the security.
  • frequency - Number of coupon payments per year (annual = 1, semi-annual = 2, quarterly = 4).
  • basis - [optional] Day count basis (see below, default =0).
Usage notes 

Historically, bonds were printed on paper with detachable coupons. The coupons were presented to the bond issuer by the bond holder to collect periodic interest payments.  The Excel COUPDAYBS function returns the number of days from the start of the coupon period to the settlement date.

The settlement date is the date the investor takes possession of a security. The maturity date is the date when the investment ends and the principle plus accrued interest is returned to the investor.  The frequency is the number of interest payments per year. Basis specifies the method used to count days (see below). In the example show, the formula in F6 is:

=COUPDAYBS(C6,C7,C10,C11)

COUPDAYBS returns an integer, so use a number format and not a date format to display properly.

Entering dates

In Excel, dates are serial numbers. Generally, the best way to enter valid dates is to use cell references, as shown in the example. To enter valid dates directly, you can use the DATE function. Below is the formula in F6 reworked with hardcoded values and the DATE function:

=COUPDAYBS(DATE(2019,2,15),DATE(2024,1,1),2,0)

With these inputs, COUPDAYBS returns the same result as above.

Basis

The basis argument controls how days are counted. The COUPDAYBS function allows 5 options (0-4) and defaults to zero, which specifies US 30/360 basis. This article on wikipedia provides a detailed explanation of available conventions.

Basis Day count
0 or omitted US (NASD) 30/360
1 Actual/actual
2 Actual/360
3 Actual/365
4 European 30/360

Notes

  • In Excel, dates are serial numbers
  • All arguments are truncated to integers, so for example, time is ignored.
  • If settlement or maturity dates are not valid, COUPDAYBS returns #VALUE!
  • If basis is out-of-range , COUPDAYBS returns #NUM!
  • If maturity date is not later than settlement date, COUPDAYBS returns #NUM!

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