Date year fractions

[mihai.bunea]

Hello (again :)

The question i'm preparing to ask refers actually to the pricing of swaps.
Before that, however, i noticed a limitation of Quantlib which severely limits my attempts to use it: i want to be able to express year fractions of my choosing.
In this case, 0, 1.25 and 2.

Below is my attempt:

-------- CODE --------
DayCounter dayCounter = Actual365Fixed();
Date startDate(01, March, 2012); // Swap starts at this date
Date endDate = startDate + Days * 365.0 * 2.0; // Swap ends at this date
Date evalDate = startDate + Days * 365.0 * 0.75; // There are 1.25 years left
std::cout << "startDate " << startDate << " t=" << dayCounter.yearFraction(startDate, startDate) << std::endl;
std::cout << "evaluationDate " << evalDate << " t=" << dayCounter.yearFraction(startDate, evalDate) << std::endl;
std::cout << "endDate " << endDate << " t=" << dayCounter.yearFraction(startDate, endDate) << std::endl;

-------- RESULTS --------
startDate March 1st, 2012 t=0
evaluationDate March 1st, 2012 t=0
endDate March 1st, 2014 t=2

Looking over the Date class it's obvious that it can't be used to express arbitrary year fractions, as it's limited to integer calendar days.

Do you happen to know if there's anything i could use instead for this purpose?

Thanks in anticipo,
Mihai Bunea,

[Luigi Ballabio]

On Mar 4, 2011, at 11:50 AM, mihai.bunea wrote:

> The question i'm preparing to ask refers actually to the pricing of  
> swaps.
> Before that, however, i noticed a limitation of Quantlib which  
> severely
> limits my attempts to use it: i want to be able to express year  
> fractions of
> my choosing.
> In this case, 0, 1.25 and 2.
>
> Below is my attempt:
>
> -------- CODE --------
> DayCounter dayCounter = Actual365Fixed();
> Date startDate(01, March, 2012); // Swap starts at this date
> Date endDate = startDate + Days * 365.0 * 2.0; // Swap ends at this  
> date
> Date evalDate = startDate + Days * 365.0 * 0.75; // There are 1.25  
> years
> left
> std::cout << "startDate " << startDate << " t=" <<
> dayCounter.yearFraction(startDate, startDate) << std::endl;
> std::cout << "evaluationDate " << evalDate << " t=" <<
> dayCounter.yearFraction(startDate, evalDate) << std::endl;
> std::cout << "endDate " << endDate << " t=" <<
> dayCounter.yearFraction(startDate, endDate) << std::endl;
>
> -------- RESULTS --------
> startDate March 1st, 2012 t=0
> evaluationDate March 1st, 2012 t=0
> endDate March 1st, 2014 t=2

I'm not really sure what happens multiplying Days by floats here---I'd  
have to check the implementation.  There might be some issues with  
conversions to int.  The compiler is probably translating Days * 365.0  
* 0.75 into Days * int(365) * int(0.75), that is, Days*365*0.

Anyway, if you can change the day counter, I'd go for Actual360, which  
lends itself to fractions a lot better (0.75 of 365 is not a whole  
number of days).  You might try:

> DayCounter dayCounter = Actual360();
> Date startDate(01, March, 2012); // Swap starts at this date
> Date endDate = startDate + 720*Days; // Swap ends at this date
> Date evalDate = startDate + 270*Days; // There are 1.25 years left


In any case, I'd use integers for the number of days (or if you want  
to write down the fractions for clarity, write something like Days *  
(360 * 0.75).

Luigi




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