Posted by
Knox, Matt on
URL: http://quantlib.414.s1.nabble.com/problem-with-ZeroCurve-and-ActualActual-Bond-day-count-tp14661.html
I am trying to
construct zero curves using the ZeroCurve class (using the Python wrappers), and
I seem to run into problems when using the ActualActual(Bond) day count
convention. It thinks that different input dates are actually the same
date.
The best way I can
explain this is with an example. Consider the following
code:
#.....................................................................
import QuantLib as
ql
import traceback
start_date =
ql.Date(30,9,2013)
# 50 years of data
points spaced 10 days apart
dates = [(start_date + x * 10) for x in range(365
* 5)]
rates = [0.02 for _ in dates]
for daycount,
description in [
(ql.ActualActual(ql.ActualActual.Bond),
"ActualActual(Bond)"),
(ql.ActualActual(ql.ActualActual.ISDA),
"ActualActual(ISDA)"),
(ql.Actual360(),
"Actual360()"),
(ql.Thirty360(),
"Thirty360()"),
]:
try:
ql.ZeroCurve(dates, rates,
daycount)
print "success: %s" %
description
except:
print "failure: %s" %
description
print
traceback.format_exc()
# and the
output....
failure:
ActualActual(Bond)
Traceback (most recent call last):
File
"foobar.py", line 47, in <module>
ql.ZeroCurve(dates, rates, daycount)
File
"C:\analytics\ext\python27\lib\site-packages\QuantLib\QuantLib.py", line 10028,
in __init__
this =
_QuantLib.new_ZeroCurve(*args)
RuntimeError: two dates correspond to the same
time under this curve's day count convention
success:
ActualActual(ISDA)
success: Actual360()
success:
Thirty360()
#....................................
This is using Python
2.7 and QuantLib 1.3
Any idea what is
going on?
Any help would be
greatly appreciated. Thanks!
- Matt
Knox
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