http://quantlib.414.s1.nabble.com/Error-while-compiling-Swapvaluation-example-tp5030p5033.html
before... shame on me.
>
> Hi All,
>
> I've been playing with some of the Daycounter classes, viewing their results
> and I believe I'm getting some strange numbers with the actact (Bond)
> (ActualActual(ActualActual::Bond)) class.
>
> Basically, when building a FixedCoupon schedule (for example), apart from
> the first and last coupon periods (which may be stubs), the cashflows
> in-between will use the same start/end dates for the refStart/refEnd dates.
>
> Now given a period such as 7/6/2002 -> 21/12/2002, the actact (Bond) will
> compute a yearFraction value of 0.5
>
> However, it will also compute a value of 0.5 for any start date in the range
>
> 7/6/2002 - > 6/7/2002
>
> with the same EndDate : 21/12/2002.
>
> Within my (hacked) environment, when I pass in the unAdjusted schedule dates
> to the refPeriod dates. I obtain a more likely (to me) set of results.
>
> Basically, is the correct operation of the actact (Bond) dayCounter, given
> the above set of dates, correct? Does it depend on the market (ie Bond
> cashflows vs swap fixed leg rate cashflows).
>
> I'm wondering whether the other Daycounter's also have differences in output
> if it is correct to utilise unAdjusted coupon dates for the refDates.
>
> Thoughts...
> Toy out.
>
>
>
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