Posted by
eric ehlers on
Sep 04, 2006; 10:02am
URL: http://quantlib.414.s1.nabble.com/QuantlibXL-Xibor-style-rates-definition-day-counter-name-and-frequency-definition-tp5013p5014.html
Hi Wilkie,
On 9/3/06, Wilkie Lai <
[hidden email]> wrote:
> Hi Eric and all,
> 1.) After defining an Xibor object and retrieving its
> name by qlIndexName() I have found that the name
> contains a day counter that is different from what has
> been specified during object creation. It seems to
> suggest the object is actually making use of a
> different day count and can cause problem later on in
> calculation. After further investigation the problem
> seems to be limited in scope to the following day
> count type:
> * 360/360 -> shown as 30/360
> * ACT/365 -> shown as ACT/ACT (ISDA)
> Is it just a displayed problem? Is there any function
> which can actually retrieve the day count setting?
This is a display problem, you can see it more directly with
=qlDayCounterName("Actual/360")
which returns "act/360"
Perhaps we need some mechanism whereby the day counter returns the
same string used to create it e.g.
=qlDayCounterName("Actual/360") -> "Actual/360"
=qlDayCounterName("Act/360") -> "Act/360"
Regarding the two cases you mentioned, please see
http://www.quantlibaddin.org/auto/enums.htmlNote for example that the following strings
30/360
30/360BondBasis
360/360
Thirty360::EurobondBasis
Are synonymous and all point to the same underlying object.
> On a separate note, I am wondering if the ACT/ACT here
> is the same as ACT/nACT which is used in US
> Treasuries. Anyone can confirm that?
I don't know, I can't find a reference anywhere to "ACT/nACT". Here
is the documentation for QL's implementation of ACT/ACT including a
pointer to the source documentation:
http://quantlib.org/reference/class_quant_lib_1_1_actual_actual.html> 2.) I have found that qlFrequency() also cannot
> display any frequency shorter than 1 month. Again is
> this just a display problem, or the object is not
> defaulting the refix frequency to be same as the
> tenor? If it's the latter case than how can rate like
> Overnight Index (as in OIS) can be handled?
At first glance this appears to me to be a display problem, a glitch
in the underlying code (QuantLib::Xibor::frequency) - the method
returns "undefined frequency" for frequencies shorter than one month,
even when the Xibor object contains a perfectly valid tenor of, say,
1W.
Regards,
Eric