[Quantlib-dev] [ quantlib-Bugs-3402104 ] Act/365 Convention Wrong

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Bugs item #3402104, was opened at 2011-09-01 09:08
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Invalid
Priority: 5
Private: No
Submitted By: D W (ariakus)
Assigned to: Nobody/Anonymous (nobody)
Summary: Act/365 Convention Wrong

Initial Comment:
As per the 2006 ISDA docs, Act/365 should be calculated on a 365 day count, even if it is a leap year.  qlDayCounterYearFraction calculates Act/365 as the proportion of days in year vs the number of days in that year (ie. uses 366 in leap years) - this should be used for Act/Act not Act/365.
Example: start date 29-Aug-2011, end date 29-Aug-2011.  It returns 1.00093569877985 = 125/365 + 241/366
The correct answer is 1.00273972602740 = (125+241)/365



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>Comment By: Luigi Ballabio (lballabio)
Date: 2011-09-05 16:40

Message:
The behavior you refer to is implemented as the "Act/365 (Fixed)"
convention.  I'm not the one that chose the tags, but from what I'm told,
Act/365 without the "fixed" part is actually (no pun intended) an alias for
actual/actual.


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Comment By: D W (ariakus)
Date: 2011-09-01 09:10

Message:
correction: start date 29-Aug-2011, end date 29-Aug-2012

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