Bugs item #1461368, was opened at 2006-03-30 14:53
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Rejected
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
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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>Comment By: Luigi Ballabio (lballabio)
Date: 2006-04-19 11:44
Message:
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Christian,
the start,end,start,end arguments are passed for regular
coupons; in that context, the tenor of the coupon should be
the correct choice for the reference period. When the
coupons are not regular (i.e., when the first or last coupon
is a short or long one) the reference period is calculated
differently, so I don't think this needs to be fixed; you
can find the calculation in the initial and final part of
the function. Please go ahead and submit a patch if you
think this should be changed.
Thanks,
Luigi
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