Bugs item #3402104, was opened at 2011-09-01 08:08
Message generated for change (Comment added) made by ariakus
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: D W (ariakus)
Assigned to: Nobody/Anonymous (nobody)
Summary: Act/365 Convention Wrong
Initial Comment:
As per the 2006 ISDA docs, Act/365 should be calculated on a 365 day count, even if it is a leap year. qlDayCounterYearFraction calculates Act/365 as the proportion of days in year vs the number of days in that year (ie. uses 366 in leap years) - this should be used for Act/Act not Act/365.
Example: start date 29-Aug-2011, end date 29-Aug-2011. It returns 1.00093569877985 = 125/365 + 241/366
The correct answer is 1.00273972602740 = (125+241)/365
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>Comment By: D W (ariakus)
Date: 2011-09-01 08:10
Message:
correction: start date 29-Aug-2011, end date 29-Aug-2012
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