Re: [Quantlib-users] problem with ZeroCurve and ActualActual(Bond) day count

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I still think that this only makes sense, if one bond (or a group of bonds
with identical periods) is used, otherwise a date does not have a unique
associated time w.r.t. ActActISMA. Maybe someone can jump in if I am
missing something here ?

Apart from this in QL the time measurement in termstructures does not allow
for a reference period structure from what I can see, i.e. the reference
period is always assumed to be equal to the period to measure. Therefore
from my point of view you should not use ActActISMA for a termstructure's
day counter. Even the use case I outlined above (single bond spread
quotation) would not work out of the box in QL.

Personally I would go for ActActISDA as the termstructures daycounter. This
seems a reasonable solution, also perfectly fitting into QL.

--- Peter

On 18 November 2013 22:08, Knox, Matt <Mat...@td...> wrote:

> Thanks Peter. It looks like the curve was built assuming ActAct/ICMA (or
> ISMA in QuantLib terms). Based on that, my assumption would be that the
> "lesser of the evils" would be to manipulate the curve so that it can be
> input into the QuantLib ZeroCurve class using the same ActAct/ICMA day
> count (i.e.. Reduce the number of data points in the yield curve before
> passing in to QuantLib). As opposed to choosing a different day count
> convention that accepts the curve as-is. Would you agree with that?
>
> Also, to better understand what the ZeroCurve class is doing to the dates
> I input with the ActAct/ICMA day count, is it essentially going to round
> them to the nearest month? For example, if one of the points on the curve
> is 13-jan-2014, internally QuantLib could translate it to some arbitrary
> date in Jan-2014? Will it specifically round it to 31-jan-2014 (or
> 1-jan-2014)?
>
> Thank you so much for your help,
>
> - Matt
>
> -----Original Message-----
> From: Peter Caspers [mailto:pca...@gm...]
> Sent: November 18, 2013 3:26 PM
> To: Knox, Matt
> Cc: 'qua...@li...'
> Subject: Re: [Quantlib-users] problem with ZeroCurve and
> ActualActual(Bond) day count
>
> Hi Matt,
>
>    from what i know ActAct/ICMA is used for bond accrual and yield (and
> other bond analytics) calculation. What I also saw is that spread
> quotations over a reference curve (e.g. a swap curve) for a (single) bond
> are following the bond's day count and yield convention in the sense that
> the reference curve is rebootstrapped using the bond's ActAct/ICMA day
> count convention (and also bond yield compounding) for the stripped zero
> yields. However in my understanding this is clearly dependent on the single
> bond to be valued and not applicable to a situation where a zero curve or a
> spread term structure over a reference curve is built from several bonds,
> as in your case.
>
> So my next question would be how exactly your zero curve was calculated
> (what you call precalculated curve below). I could imagine that some
> instrument independent day counter was used such as ActAct/ISDA) or
> Act365(Fixed). Do you have any details on that ?
>
> kind regards
>    Peter
>
>
> "Knox, Matt" <Mat...@td...> writes:
>
> > Thanks Peter. The situation is as follows:
> >
> > I have a pre-calculated zero curve which was boot strapped from
> > government of Canada bonds. According to this document
> > http://iiac.ca/wp-content/uploads/Canadian-Conventions-in-FI-Markets.p
> > df , the day count convention for these bonds would be
> > ActualActual(Bond) if I am understanding it correctly - see footnote
> > at bottom of page 6 of that document. I want to use this curve to
> > calculate some shocks on a bond portfolio, as well as a stream of cash
> > flows (representing pension liabilities). My thinking was that when I
> > construct the zero curve, I should match the day count convention of
> > the bonds that were used to build it. Furthermore, for apples to
> > apples comparison with the liabilities, I should use the same day
> > count on the liability cash flows. However, due to the spacing of the
> > data points in the pre-calculated curve, I would have to pre-adjust
> > the curve to pass it into the ZeroCurve constructor if I am to use the
> > ActualActual(Bond) day count convention.
> >
> > So my options seem to be: adjust the curve, or pick another day count
> convention that is "good enough".
> >
> > Does my thinking make sense here? Or am I going about this the wrong
> way? Thanks for the reply, appreciate any insight you can offer.
> >
> > - Matt
> >
> > -----Original Message-----
> > From: Peter Caspers [mailto:pca...@gm...]
> > Sent: November 16, 2013 3:02 PM
> > To: Knox, Matt
> > Cc: 'qua...@li...'
> > Subject: Re: [Quantlib-users] problem with ZeroCurve and
> > ActualActual(Bond) day count
> >
> > The dates are actually different, but the year fraction is the same
> > for groups of several of dates under ActualActual/ICMA because no
> > reference period is specified in TermStructure::timeFromReference(),
> > therefore it is set equal to the period itself, therefore (largely)
> > yearfractions of the form n/12 are produced. Since the spacing between
> > your dates is only 10 days, more than one date can (and does) produce
> > the same year fraction.
> >
> > So I guess technically the behaviour is expected (also, with a
> meaningful message thrown).
> >
> > The question is, what do you want to achieve exactly ?
> >
> > best regards
> >    Peter
> >
> >
> > "Knox, Matt" <Mat...@td...> writes:
> >
> >> I am trying to construct zero curves using the ZeroCurve class (using
> >> the Python wrappers), and I seem to run into problems when using the
> >> ActualActual(Bond) day count convention. It thinks that different
> >> input dates are actually the same date.
> >>
> >> The best way I can explain this is with an example. Consider the
> >> following code:
> >>
> >> #.....................................................................
> >> import QuantLib as ql
> >> import traceback
> >>
> >> start_date = ql.Date(30,9,2013)
> >>
> >> # 50 years of data points spaced 10 days apart dates = [(start_date +
> >> x * 10) for x in range(365 * 5)] rates = [0.02 for _ in dates]
> >>
> >> for daycount, description in [
> >>     (ql.ActualActual(ql.ActualActual.Bond), "ActualActual(Bond)"),
> >>     (ql.ActualActual(ql.ActualActual.ISDA), "ActualActual(ISDA)"),
> >>     (ql.Actual360(), "Actual360()"),
> >>     (ql.Thirty360(), "Thirty360()"),
> >> ]:
> >>     try:
> >>         ql.ZeroCurve(dates, rates, daycount)
> >>         print "success: %s" % description
> >>     except:
> >>         print "failure: %s" % description
> >>         print traceback.format_exc()
> >> # and the output....
> >> failure: ActualActual(Bond)
> >> Traceback (most recent call last):
> >>   File "foobar.py", line 47, in <module>
> >>     ql.ZeroCurve(dates, rates, daycount)
> >>   File "C:\analytics\ext\python27\lib\site-packages\QuantLib\
> >> QuantLib.py", line 10028, in __init__
> >>     this = _QuantLib.new_ZeroCurve(*args)
> >> RuntimeError: two dates correspond to the same time under this
> >> curve's day count convention
> >>
> >> success: ActualActual(ISDA)
> >> success: Actual360()
> >> success: Thirty360()
> >>
> >> #....................................
> >> This is using Python 2.7 and QuantLib 1.3
> >>
> >> Any idea what is going on?
> >>
> >> Any help would be greatly appreciated. Thanks!
> >>
> >> - Matt Knox
> >>
> >>
> >>
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