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From: Ferdinando A. <fer...@am...> - 2002-08-06 16:58:00
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Hi all while working on extending the pricing engines to time dependant parameters (yields, vol, etc.) I stumbled across the problem of possible inconsistencies between different day count conventions used by the different term structures, vol surfaces, etc. So I would like to define a default daycounter for all the yield/vol term structures, probably Act/365 as global variable. Then I would remove the dayCounter() inspector method from the interested classes. Any objection/suggestion? ciao -- Nando |