DayCounter for FittedBondDiscountCurve
Posted by SteveGe on Oct 28, 2014; 1:23am
URL: http://quantlib.414.s1.nabble.com/DayCounter-for-FittedBondDiscountCurve-tp16001.html
FittedBondDiscountCurve use a vector of FixedRateBondHelper, with each of BondHelper has its own DayCounter(i.e. ActualActual::Bond for long end or ActualActual::AFB for short end)
The question then what would be the correct DayCounter for FittedBondDiscountCurve ?
We have used ActualActual::Bond in the FittedBondDiscountCurve , it would call the yearFraction without refStart and refEnd. so round to months, which was wrong.
Any suggestions ?
Thanks