Posted by
Luigi Ballabio on
Jan 02, 2008; 2:59pm
URL: http://quantlib.414.s1.nabble.com/Re-QuantLib-svn-SF-net-SVN-quantlib-13854-trunk-QuantLib-ql-interestrate-hpp-tp11510p11512.html
On Wed, 2008-01-02 at 11:15 +0100, Ferdinando Ametrano wrote:
> > 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.
Is it? I'm not sure that we should use a default day counter for the
term structures that require one. If anything, it _increases_ the
inconsistency risk---if the user sets the day counter to one curve and
not to the other, he'll (silently) get two curves with different day
counters. It would be safer to have him specify both explicitly.
> 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.
Yes, but that's not the only effect of the default. It affects all
InterestRate instances, flat forward or not.
> 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...)
...since it doesn't hold for act/365.
> 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?
Yes--I don't like it :) I'd rather have no default at all.
Later,
Luigi
--
Things should be made as simple as possible, but no simpler.
-- Albert Einstein
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