[Quantlib-dev] QuantlibXL: Xibor style rates definition -- day counter name and frequency definition

[Wilkie L. <inf...@ya...>]

Hi Eric and all,
1.) After defining an Xibor object and retrieving its
name by qlIndexName() I have found that the name
contains a day counter that is different from what has
been specified during object creation.  It seems to
suggest the object is actually making use of a
different day count and can cause problem later on in
calculation.  After further investigation the problem
seems to be limited in scope to the following day
count type:
* 360/360 -> shown as 30/360
* ACT/365 -> shown as ACT/ACT (ISDA)
Is it just a displayed problem?  Is there any function
which can actually retrieve the day count setting?
On a separate note, I am wondering if the ACT/ACT here
is the same as ACT/nACT which is used in US
Treasuries. Anyone can confirm that?

2.) I have found that qlFrequency() also cannot
display any frequency shorter than 1 month.  Again is
this just a display problem, or the object is not
defaulting the refix frequency to be same as the
tenor?  If it's the latter case than how can rate like
Overnight Index (as in OIS) can be handled?

Wilkie Lai

__________________________________________________
Do You Yahoo!?
Tired of spam?  Yahoo! Mail has the best spam protection around 
http://mail.yahoo.com