default daycounter

[Ferdinando M. Ametrano-2]

Hi all

while working on extending the pricing engines to time dependant parameters
(yields, vol, etc.) I stumbled across the problem of possible
inconsistencies between different day count conventions used by the
different term structures, vol surfaces, etc.

So I would like to define a default daycounter for all the yield/vol term
structures, probably Act/365 as global variable.
Then I would remove the dayCounter() inspector method from the interested
classes.

Any objection/suggestion?

ciao -- Nando

[Ferdinando M. Ametrano-2]

forgot to add that I see this in the same way as we have continuos
compounding enforced for zero yields, that is just an _internal_ convention
for time measurement.

ciao -- Nando

At 06:57 PM 8/6/2002 +0200, I wrote:

>Hi all
>
>while working on extending the pricing engines to time dependant
>parameters (yields, vol, etc.) I stumbled across the problem of possible
>inconsistencies between different day count conventions used by the
>different term structures, vol surfaces, etc.
>
>So I would like to define a default daycounter for all the yield/vol term
>structures, probably Act/365 as global variable.
>Then I would remove the dayCounter() inspector method from the interested
>classes.
>
>Any objection/suggestion?
>
>ciao -- Nando
>
>
>
>-------------------------------------------------------
>This sf.net email is sponsored by:ThinkGeek
>Welcome to geek heaven.
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[Vadim Ogranovich-3]

The inconsistency is sometimes desirable. For example in option vols. it is
sometimes the number of business days till expiration that matters, whereas
the corresponding interest rate or dividend timing are based on calendar
days.

I think the global default is good as long as there is a way for a
programmer to take over should a need arise. I wouldn't however give this a
high priority. One thing that IS important is the ability to reset the
default (from say Act/365 to any other day counter).

Thanks, Vadim



-----Original Message-----
From: Ferdinando Ametrano [mailto:[hidden email]]
Sent: Tuesday, August 06, 2002 9:58 AM
To: QuantLib-dev
Subject: [Quantlib-dev] default daycounter


Hi all

while working on extending the pricing engines to time dependant parameters
(yields, vol, etc.) I stumbled across the problem of possible
inconsistencies between different day count conventions used by the
different term structures, vol surfaces, etc.

So I would like to define a default daycounter for all the yield/vol term
structures, probably Act/365 as global variable.
Then I would remove the dayCounter() inspector method from the interested
classes.

Any objection/suggestion?

ciao -- Nando



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Welcome to geek heaven.
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[Luigi Ballabio-2]

At 1:44 PM -0500 8/6/02, Vadim Ogranovich wrote:
>I think the global default is good as long as there is a way for a
>programmer to take over should a need arise. I wouldn't however give this a
>high priority. One thing that IS important is the ability to reset the
>default (from say Act/365 to any other day counter).

Hi Vadim,
        not that I'm biased towards either possibility, but do you
mean "reset the default" as in "change the global default" or on a
per-instance basis?

Later,
        Luigi

[Vadim Ogranovich-3]

Luigi,

Thank you, it was ambiguous indeed. To (hopefully) avoid further ambiguity
let me expand it this way: "at run-time change the value of the global day
counter from the default to whatever I need".

Thanks, Vadim

-----Original Message-----
From: Luigi Ballabio [mailto:[hidden email]]
Sent: Tuesday, August 06, 2002 12:20 PM
To: Vadim Ogranovich; QuantLib-dev
Subject: RE: [Quantlib-dev] default daycounter


At 1:44 PM -0500 8/6/02, Vadim Ogranovich wrote:
>I think the global default is good as long as there is a way for a
>programmer to take over should a need arise. I wouldn't however give this a
>high priority. One thing that IS important is the ability to reset the
>default (from say Act/365 to any other day counter).

Hi Vadim,
        not that I'm biased towards either possibility, but do you
mean "reset the default" as in "change the global default" or on a
per-instance basis?

Later,
        Luigi

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[Vadim Ogranovich-3]

On a second thought I want to recall my comment that this inconsistency is
sometimes desirable. Sorry for the confusion, Vadim

P.S. Still, it is important to be able to reset the global day counter from
its default value.


=================================

The inconsistency is sometimes desirable. For example in option vols. it is
sometimes the number of business days till expiration that matters, whereas
the corresponding interest rate or dividend timing are based on calendar
days.

I think the global default is good as long as there is a way for a
programmer to take over should a need arise. I wouldn't however give this a
high priority. One thing that IS important is the ability to reset the
default (from say Act/365 to any other day counter).

Thanks, Vadim



-----Original Message-----
From: Ferdinando Ametrano [mailto:[hidden email]]
Sent: Tuesday, August 06, 2002 9:58 AM
To: QuantLib-dev
Subject: [Quantlib-dev] default daycounter


Hi all

while working on extending the pricing engines to time dependant parameters
(yields, vol, etc.) I stumbled across the problem of possible
inconsistencies between different day count conventions used by the
different term structures, vol surfaces, etc.

So I would like to define a default daycounter for all the yield/vol term
structures, probably Act/365 as global variable.
Then I would remove the dayCounter() inspector method from the interested
classes.

Any objection/suggestion?

ciao -- Nando



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Welcome to geek heaven.
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e-mail, you are hereby notified that any dissemination, distribution or
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If you have received this e-mail in error, please immediately notify me and
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sender therefore does not accept liability for any errors or omissions in
the contents of this message which arise as a result of e-mail transmission.

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of all e-mail communications.

[Luigi Ballabio-2]

Hi all,
        I'll be on vacation and offline for a couple of weeks, so it
won't be out of rudeness that I won't reply to email until September.

Have fun while I'm away,
                        Luigi