Re: [Quantlib-users] Question about year fraction calculation of China inter-bank bond

[Luigi B. <lui...@gm...>]

That's a possibility. Or you can create one class that takes the frequency
as a constructor parameter.



On Fri, Jul 22, 2016 at 12:31 PM CK TUNG <tun...@ya...> wrote:

> What you need is to create several of the DayCounter subclasses  for
> different implementations that you need such as
> Actual365CNAnnual
> Actual365CNQuarterly
> Actual365CNMonthly
> ....
>
> And then provide public function to create the above instances
> DayCounter& DayCounter::Actual365CN(const Frequency f)
>
>
> 杨拓 <yan...@12...> ：
>
> Dear Quantlib,
>
> I'm a Quantlib user from China. I was doing some calculation of yield
> about fixed coupon bond. As we all know, the day counter is the basis of
> yield calcutation of Bond.
>
> Quantlib provieds such as ACT/ACT including ISDA, ISMA and ABF, ACT365 and
> so on. But, I found that these international day count convention is
> not applicable for China.
>
> The China inter bank day count convention is as folows.  The year
> fraction is t/TS, where t is the actual number of accrued interest days,
> and TS is the actual number of current period of interest days.
>
> This is different from ISDA, which considering the interest frequency. There
> are several examples:
>
> 1、the issue date is 2009/8/15，maturity date is 2011/8/15，settlement date
> is 2009/9/15，frequency is annual, the year fraction is  1+（
> 2010/8/15-2009/9/15）/365=1+334/365=1.9151
>
> 2、the issue date is 2009/8/15，maturity date is 2012/8/15，settlement date
> is 2011/9/15，frequency is annual, the year fraction is （
> 2012/8/15-2011/9/15）/366=335/366=0.9153
>
> 3、the issue date is 2011/8/15，maturity date is 2012/8/15，settlement date
> is 2012/1/1，frequency is Quarterly, the year fraction is  0.5+（
> 2012/2/15-2012/1/1）/（2012/2/15-2011/11/15）=0.5+45/92*0.25=0.6223
>
>
> If I want to calculate the year fraction according to China inter bank day
> count convention, I must use the additional arguement of interest frequency.
>
> As I know, the all day counter class in Quantlib is inherited from Impl
> class, but this class only have the vitual yearfraction function as
>
> virtual Time yearFraction(const Date& d1, const Date& d2, const Date&
> refPeriodStart, const Date& refPeriodEnd) const = 0; It only have arguement
> about date.
>
> If I want to rewrite the day counter class for China, I must change the
> interface of Impl, but this will cause that I will change all the day
> counter class in Quantlib.
>
> Can you give me some suggestions about how to write another day counter
> class for China condition and have the less change in other class.
>
> I will very appreciate it if you can help me.
>
> Thank you very much!
>
>
>
>
>
> --
> Best Regards!
> Tuo Yang
> Beijing University of Posts and Telecommuncations, BUPT
> Xitucheng Road #10, Beijing
> Tel：(+86) 152-0136-1443
> E-Mail：yan...@12...
>
>
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