DayCounter for FittedBondDiscountCurve

[SteveGe]

FittedBondDiscountCurve use a vector of FixedRateBondHelper, with each of BondHelper has its own DayCounter(i.e. ActualActual::Bond for long end or ActualActual::AFB for short end）

The question then what would be the correct DayCounter for FittedBondDiscountCurve ?
We have used ActualActual::Bond in the FittedBondDiscountCurve , it would call the yearFraction without refStart and refEnd.  so round to months, which was wrong.  

Any suggestions ?

Thanks

[Ferdinando M. Ametrano-2]

the daycounter of a term structure has nothing to do with the daycounter of its ratehelpers: it is just how to measure time for the term structure. It has to be monotonic, so stay away from any 30/360 or similar, act/365 (fixed) is probably the best choice.

Moreover, please pay attention that any numerical method mixing term structures (rate, vol, dividends, etc) will probably require the termstructures to use the same daycounter, so better stick to a common easy choice, e.g. act/365 (fixed)

I've always been advocating to remove the choice for term structure daycounters as it might only lead to errors, or at least to force the selection of an invertible one, i.e. one allowing for going back from times to dates, a feature that might be useful in quite a few places...

On Tue, Oct 28, 2014 at 2:23 AM, SteveGe <[hidden email]> wrote:

FittedBondDiscountCurve use a vector of FixedRateBondHelper, with each of
BondHelper has its own DayCounter(i.e. ActualActual::Bond for long end or
ActualActual::AFB for short end）

The question then what would be the correct DayCounter for
FittedBondDiscountCurve ?
We have used ActualActual::Bond in the FittedBondDiscountCurve , it would
call the yearFraction without refStart and refEnd.  so round to months,
which was wrong.

Any suggestions ?

Thanks




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