RE: [Quantlib-dev] default daycounter

[Vadim O. <vo...@ar...>]

On a second thought I want to recall my comment that this inconsistency is
sometimes desirable. Sorry for the confusion, Vadim

P.S. Still, it is important to be able to reset the global day counter from
its default value.


=================================

The inconsistency is sometimes desirable. For example in option vols. it is
sometimes the number of business days till expiration that matters, whereas
the corresponding interest rate or dividend timing are based on calendar
days.

I think the global default is good as long as there is a way for a
programmer to take over should a need arise. I wouldn't however give this a
high priority. One thing that IS important is the ability to reset the
default (from say Act/365 to any other day counter).

Thanks, Vadim



-----Original Message-----
From: Ferdinando Ametrano [mailto:fer...@am...]
Sent: Tuesday, August 06, 2002 9:58 AM
To: QuantLib-dev
Subject: [Quantlib-dev] default daycounter


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



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