Bugs item #3404882, was opened at 2011-09-06 14:03
Message generated for change (Comment added) made by lballabio
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3404882&group_id=12740Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Invalid
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;
----------------------------------------------------------------------
>Comment By: Luigi Ballabio (lballabio)
Date: 2011-09-08 15:35
Message:
dayCount(d1,d2) returns d2-d1, so if you want the number of days left in
the year you'll have to use d2=1st January as in the code you quote. The
current implementation reproduces correctly all examples in the ISDA
document you link; here is the output of a Python session on my box:
>>> from QuantLib import *
>>> isda = ActualActual(ActualActual.ISDA)
example (a)
>>> 10000 * 0.1 * isda.yearFraction(Date(1,11,2003),Date(1,5,2004))
497.72438056740776
example (b)
>>> 10000 * 0.1 * isda.yearFraction(Date(1,2,1999),Date(1,7,1999))
410.958904109589
>>> 10000 * 0.1 * isda.yearFraction(Date(1,7,1999),Date(1,7,2000))
1001.3773486039374
example (c)
>>> 10000 * 0.1 * isda.yearFraction(Date(15,8,2002),Date(15,7,2003))
915.068493150685
>>> 10000 * 0.1 * isda.yearFraction(Date(15,7,2003),Date(15,1,2004))
504.0047907777528
example (d)
>>> 10000 * 0.1 * isda.yearFraction(Date(30,7,1999),Date(30,1,2000))
503.89250692417096
>>> 10000 * 0.1 * isda.yearFraction(Date(30,1,2000),Date(30,6,2000))
415.30054644808746
example (e)
>>> 10000 * 0.1 * isda.yearFraction(Date(30,11,1999),Date(30,4,2000))
415.54008533572875
----------------------------------------------------------------------
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3404882&group_id=12740------------------------------------------------------------------------------
Why Cloud-Based Security and Archiving Make Sense
Osterman Research conducted this study that outlines how and why cloud
computing security and archiving is rapidly being adopted across the IT
space for its ease of implementation, lower cost, and increased
reliability. Learn more.
http://www.accelacomm.com/jaw/sfnl/114/51425301/_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
