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This looks to me like a range accrual. Let $t_1, \ldots, t_n$, where $0 < t_1 < \cdots < t_n$ be business days that are being considered. We compute \begin{align*} E\left(\sum_{i=1}^n \pmb{1}_{b_1 < S_{t_i} < b_2} \right) &=\sum_{i=1}^n E\left(\pmb{1}_{b_1 < S_{t_i} < b_2} \right)\\ &=\sum_{i=1}^n \left[E\big(\pmb{1}_{S_{t_i} >...



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