http://quantlib.414.s1.nabble.com/problem-with-ZeroCurve-and-ActualActual-Bond-day-count-tp14661p14670.html
(and other bond analytics) calculation. What I also saw is that spread
quotations over a reference curve (e.g. a swap curve) for a (single)
the stripped zero yields. However in my understanding this is clearly
(what you call precalculated curve below). I could imagine that some
Act365(Fixed). Do you have any details on that ?
> Thanks Peter. The situation is as follows:
>
> I have a pre-calculated zero curve which was boot strapped from
> government of Canada bonds. According to this document
>
http://iiac.ca/wp-content/uploads/Canadian-Conventions-in-FI-Markets.pdf> , the day count convention for these bonds would be ActualActual(Bond)
> if I am understanding it correctly - see footnote at bottom of page 6
> of that document. I want to use this curve to calculate some shocks on
> a bond portfolio, as well as a stream of cash flows (representing
> pension liabilities). My thinking was that when I construct the zero
> curve, I should match the day count convention of the bonds that were
> used to build it. Furthermore, for apples to apples comparison with
> the liabilities, I should use the same day count on the liability cash
> flows. However, due to the spacing of the data points in the
> pre-calculated curve, I would have to pre-adjust the curve to pass it
> into the ZeroCurve constructor if I am to use the ActualActual(Bond)
> day count convention.
>
> So my options seem to be: adjust the curve, or pick another day count convention that is "good enough".
>
> Does my thinking make sense here? Or am I going about this the wrong way? Thanks for the reply, appreciate any insight you can offer.
>
> - Matt
>
> -----Original Message-----
> From: Peter Caspers [mailto:
[hidden email]]
> Sent: November 16, 2013 3:02 PM
> To: Knox, Matt
> Cc: '
[hidden email]'
> Subject: Re: [Quantlib-users] problem with ZeroCurve and ActualActual(Bond) day count
>
> The dates are actually different, but the year fraction is the same
> for groups of several of dates under ActualActual/ICMA because no
> reference period is specified in TermStructure::timeFromReference(),
> therefore it is set equal to the period itself, therefore (largely)
> yearfractions of the form n/12 are produced. Since the spacing between
> your dates is only 10 days, more than one date can (and does) produce
> the same year fraction.
>
> So I guess technically the behaviour is expected (also, with a meaningful message thrown).
>
> The question is, what do you want to achieve exactly ?
>
> best regards
> Peter
>
>
> "Knox, Matt" <
[hidden email]> writes:
>
>> 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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