Posted by
Ferdinando M. Ametrano-3 on
Jan 02, 2008; 10:15am
URL: http://quantlib.414.s1.nabble.com/Re-QuantLib-svn-SF-net-SVN-quantlib-13854-trunk-QuantLib-ql-interestrate-hpp-tp11510p11511.html
On Dec 20, 2007 11:11 PM, Luigi Ballabio <
[hidden email]> wrote:
> > Log Message:
> > -----------
> > added default parameters
> >
> > @@ -45,8 +45,8 @@
> > InterestRate();
> > //! Standard constructor
> > InterestRate(Rate r,
> > - const DayCounter& dc,
> > - Compounding comp,
> > + const DayCounter& dc = Actual365Fixed(),
> > + Compounding comp = Continuous,
> > Frequency freq = Annual);
> > //@}
> > //! \name conversions
>
> Nando,
> somehow I can see that the compounding may default to Continuous, but
> why should the day-count convention default to actual/365?
Actual/365Fixed is the default DayCounter we use in all
TermStructures, in order to minimize the inconsistency risk of using
different DayCounters for differerent (vol/yield) TermStructures.
In few places InterestRate is used to define a FlatForward and its
DayCounter is used as the YieldTermStructure's DayCounter, so I
default it to Actual365Fixed. Besides this is the usual assumption in
the textbook examples (e.g. Hull), where you would want 5 years to be
5.0 (and for this reason ActualActual::ISDA would be even better...)
Actually any strictly monotone DayCounter (Actual360, Actual/365Fixed,
ActualActual::ISDA) would be ok as default DayCounter for
TermStructures.
It's quite a while that I've been considering to define the default
DayCounter in userconfig.hpp (and switch to ActualActual::ISDA in the
meantime): any objection if I do it?
ciao -- Nando
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