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Re: [Quantlib-users] YearFraction method
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From: Krishnan <rkr...@gm...> - 2021-02-22 21:50:19
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<html xmlns:o="urn:schemas-microsoft-com:office:office" xmlns:w="urn:schemas-microsoft-com:office:word" xmlns:m="http://schemas.microsoft.com/office/2004/12/omml" xmlns="http://www.w3.org/TR/REC-html40"><head><meta http-equiv=Content-Type content="text/html; charset=utf-8"><meta name=Generator content="Microsoft Word 15 (filtered medium)"><style><!-- /* Font Definitions */ @font-face {font-family:"Cambria Math"; panose-1:2 4 5 3 5 4 6 3 2 4;} @font-face {font-family:Calibri; panose-1:2 15 5 2 2 2 4 3 2 4;} /* Style Definitions */ p.MsoNormal, li.MsoNormal, div.MsoNormal {margin:0cm; font-size:11.0pt; font-family:"Calibri",sans-serif;} a:link, span.MsoHyperlink {mso-style-priority:99; color:blue; text-decoration:underline;} .MsoChpDefault {mso-style-type:export-only;} @page WordSection1 {size:612.0pt 792.0pt; margin:72.0pt 72.0pt 72.0pt 72.0pt;} div.WordSection1 {page:WordSection1;} --></style></head><body lang=EN-CA link=blue vlink="#954F72" style='word-wrap:break-word'><div class=WordSection1><p class=MsoNormal><span lang=EN-US>Please ignore my question. I think I have the answer.</span></p><p class=MsoNormal><o:p> </o:p></p><p class=MsoNormal>Sent from <a href="https://go.microsoft.com/fwlink/?LinkId=550986">Mail</a> for Windows 10</p><p class=MsoNormal><o:p> </o:p></p><div style='mso-element:para-border-div;border:none;border-top:solid #E1E1E1 1.0pt;padding:3.0pt 0cm 0cm 0cm'><p class=MsoNormal style='border:none;padding:0cm'><b>From: </b><a href="mailto:rkr...@gm...">Kishore Krishnan</a><br><b>Sent: </b>February 22, 2021 3:22 PM<br><b>To: </b><a href="mailto:qua...@li...">qua...@li...</a><br><b>Subject: </b>YearFraction method</p></div><p class=MsoNormal><o:p> </o:p></p><div><p class=MsoNormal>Hi,</p><div><p class=MsoNormal>I am using quantlib's year fraction method in Python as below:</p></div><div><p class=MsoNormal>t0 = ql_day_count.yearFraction(dt1, dt2). My day count is Actual Actual (ISMA) , I get a number that is significantly different from that in Excel. For example, dt1 is 2021-02-17 and dt2 is 2027-06-01. Quantlib returns a value of 6.25. Excel on the other hand returns a value of 6.285. I am using the basis as 1 (Actual/Actual) in Excel. I am trying to understand the difference. Would appreciate some help.</p></div><div><p class=MsoNormal>Thanks</p></div></div><p class=MsoNormal>Krish</p><p class=MsoNormal><o:p> </o:p></p></div></body></html> |
