Different DayCounter for Coupon and Accrued Amount
Posted by
igitur on
May 08, 2014; 3:19pm
URL: http://quantlib.414.s1.nabble.com/Different-DayCounter-for-Coupon-and-Accrued-Amount-tp15261.html
Hi,
I'm fairly sure that fixed rate bonds here in South Africa follow the UK (or Europe) convention. I don't think we do things differently here. But I hope you can confirm that.
For me to reconcile the FixedRateBond calculations with our internal models, I have to use the ActualActual.Convention.Bond daycounter for calculating the coupons. As far as I can tell, that's the only way to get exactly t = 0.5 for half-yearly coupons (please correct me if I'm wrong).
However, for the accrued amount, we calculate the number of days elapsed since the last coupon date and express that as a fraction of 365. So I have to use Actual365.
So, firstly, is the standard convention for how fixed rate bonds operate in Europe / UK?
Secondly, is it possible to send the two different daycounters to FixedRateBondHelper or what other solution is there?
regards
------------------------------------------------------------------------------
Is your legacy SCM system holding you back? Join Perforce May 7 to find out:
• 3 signs your SCM is hindering your productivity
• Requirements for releasing software faster
• Expert tips and advice for migrating your SCM now
http://p.sf.net/sfu/perforce_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users