Quantlib Enum: No daily/weekly frequency

[Wilkie Lai]

Hi all,
I have come to realize that enum Quantlib::Frequency
does not contain frequency like weekly or daily.
Despite the fact that they are less common there are
existing products in the market that have to make use
of such frequencies (eg. Overnight Index Swap).  Is
there a rationale behind such that they are omitted,
or would it be possible to put them back in?  I am
mainly using the library through QuantlibXL so I
prefer all changes to go through the code base.
Advice is much appreciated.

Regards,
Wilkie

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[Toyin Akin]

Hi,

These frequencies (and more!!) are currently within the dev version of
QuantLib c++ and thus the functionality is there. However the length of time
to export this out to Excel is another question.

Also, the new frequencies have not yet been tested enough with the dev
library. There are portions of code within the library that only deal with
the original frequency set (for example - code that simply divide the
(integer) frequency by 12 to translate to a year fraction).

Furthermore, although probably not an Excel issue, there is talk that the
implementation of these frequencies may change...

Toy out.

>From: Wilkie Lai <[hidden email]>
>To: [hidden email],[hidden email]
>Subject: [Quantlib-users] Quantlib Enum: No daily/weekly frequency
>Date: Tue, 26 Sep 2006 20:30:15 -0700 (PDT)
>
>Hi all,
>I have come to realize that enum Quantlib::Frequency
>does not contain frequency like weekly or daily.
>Despite the fact that they are less common there are
>existing products in the market that have to make use
>of such frequencies (eg. Overnight Index Swap).  Is
>there a rationale behind such that they are omitted,
>or would it be possible to put them back in?  I am
>mainly using the library through QuantlibXL so I
>prefer all changes to go through the code base.
>Advice is much appreciated.
>
>Regards,
>Wilkie
>
>__________________________________________________
>Do You Yahoo!?
>Tired of spam?  Yahoo! Mail has the best spam protection around
>http://mail.yahoo.com
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