actact (Bond) yearFraction() function...

[Toyin Akin]

Hi All,

I've been playing with some of the Daycounter classes, viewing their results
and I believe I'm getting some strange numbers with the actact (Bond)
(ActualActual(ActualActual::Bond)) class.

Basically, when building a FixedCoupon schedule (for example), apart from
the first and last coupon periods (which may be stubs), the cashflows
in-between will use the same start/end dates for the refStart/refEnd dates.

Now given a period such as 7/6/2002 -> 21/12/2002, the actact (Bond) will
compute a yearFraction value of 0.5

However, it will also compute a value of 0.5 for any start date in the range

7/6/2002 - > 6/7/2002

with the same EndDate : 21/12/2002.

Within my (hacked) environment, when I pass in the unAdjusted schedule dates
to the refPeriod dates. I obtain a more likely (to me) set of results.

Basically, is the correct operation of the actact (Bond) dayCounter, given
the above set of dates, correct? Does it depend on the market (ie Bond
cashflows vs swap fixed leg rate cashflows).

I'm wondering whether the other Daycounter's also have differences in output
if it is correct to utilise unAdjusted coupon dates for the refDates.

Thoughts...
Toy out.

[Luigi Ballabio]

On Mon, 2006-09-18 at 07:54 +0100, Toyin Akin wrote:
> I've been playing with some of the Daycounter classes, viewing their results
> and I believe I'm getting some strange numbers with the actact (Bond)
> (ActualActual(ActualActual::Bond)) class.
>
> Basically, when building a FixedCoupon schedule (for example), apart from
> the first and last coupon periods (which may be stubs), the cashflows
> in-between will use the same start/end dates for the refStart/refEnd dates.

Yes, that's because the passed schedule doesn't hold any information on
the reference dates.  We should probably add them to its data.  

Ferdinando, you've been reworking the Schedule class lately---do you
think this is possible?

Later,
        Luigi
 

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