[ quantlib-Bugs-1461368 ] cashflowvectors with act/act (isma)

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Bugs item #1461368, was opened at 2006-03-30 04:53
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: cashflowvectors  with act/act (isma)

Initial Comment:
Hi,

can it be that there's a mistake in the
function 'FixedRateCouponVector', which is included in
the file 'cashflowvectors.cpp'?
I wonder if the yearfractions were calculated
correctly if the daycounter is set to act/act (isma).
If this daycounter is used to calculate a
yearfraction, one really needs the reference period,
which is in general different from the accrued period.
But the function 'FixedRateCouponVector' creates
coupons á la
FixedRateCoupon(nominal, paymentdate, rate,
dayCounter, start, end, start, end), so that the
accrual period (args 5&6)and reference period (args
7&8) are apparently identical.
Am I right?


Regards,
Christian Alpert, [hidden email]

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