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

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Bugs item #3404882, was opened at 2011-09-06 14:03
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: 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;

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>Comment By: Luigi Ballabio (lballabio)
Date: 2011-09-08 15:35

Message:
dayCount(d1,d2) returns d2-d1, so if you want the number of days left in
the year you'll have to use d2=1st January as in the code you quote.  The
current implementation reproduces correctly all examples in the ISDA
document you link; here is the output of a Python session on my box:

>>> from QuantLib import *
>>> isda = ActualActual(ActualActual.ISDA)

example (a)

>>> 10000 * 0.1 * isda.yearFraction(Date(1,11,2003),Date(1,5,2004))
497.72438056740776

example (b)

>>> 10000 * 0.1 * isda.yearFraction(Date(1,2,1999),Date(1,7,1999))
410.958904109589
>>> 10000 * 0.1 * isda.yearFraction(Date(1,7,1999),Date(1,7,2000))
1001.3773486039374

example (c)

>>> 10000 * 0.1 * isda.yearFraction(Date(15,8,2002),Date(15,7,2003))
915.068493150685
>>> 10000 * 0.1 * isda.yearFraction(Date(15,7,2003),Date(15,1,2004))
504.0047907777528

example (d)

>>> 10000 * 0.1 * isda.yearFraction(Date(30,7,1999),Date(30,1,2000))
503.89250692417096
>>> 10000 * 0.1 * isda.yearFraction(Date(30,1,2000),Date(30,6,2000))
415.30054644808746

example (e)

>>> 10000 * 0.1 * isda.yearFraction(Date(30,11,1999),Date(30,4,2000))
415.54008533572875


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