Bugs item #3404882, was opened at 2011-09-06 13:03
Message generated for change (Tracker Item Submitted) made by lpitotti
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Lorenzo Pitotti (lpitotti)
Assigned to: Nobody/Anonymous (nobody)
Summary: Problem with Act/Act (ISDA) convention
Initial Comment:
The implementation Act/Act (ISDA) day count convention seems to be wrong as it calculates the number of days w.r.t 1st January rather than 31st December. (cf.
http://www.isda.org/c_and_a/pdf/ACT-ACT-ISDA-1999.pdf)
Specifically we should replace (actualactual.cpp, Ln 156):
sum += dayCount(d1, Date(1,January,y1+1))/dib1;
sum += dayCount(Date(1,January,y2),d2)/dib2;
with
sum += dayCount(d1, Date(31,December,y1))/dib1;
sum += dayCount(Date(31,December,y2-1),d2)/dib2;
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