[Quantlib-dev] [ quantlib-Bugs-3404882 ] Problem with Act/Act (ISDA) convention

[SourceForge.net <no...@so...>]

Bugs item #3404882, was opened at 2011-09-06 13:03
Message generated for change (Tracker Item Submitted) made by lpitotti
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3404882&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Lorenzo Pitotti (lpitotti)
Assigned to: Nobody/Anonymous (nobody)
Summary: Problem with Act/Act (ISDA) convention

Initial Comment:
The implementation Act/Act (ISDA) day count convention seems to be wrong as it calculates the number of days w.r.t 1st January rather than 31st December. (cf. http://www.isda.org/c_and_a/pdf/ACT-ACT-ISDA-1999.pdf)

Specifically we should replace (actualactual.cpp, Ln 156):
        sum += dayCount(d1, Date(1,January,y1+1))/dib1;
        sum += dayCount(Date(1,January,y2),d2)/dib2;
with
	sum += dayCount(d1, Date(31,December,y1))/dib1;
        sum += dayCount(Date(31,December,y2-1),d2)/dib2;

----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3404882&group_id=12740