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

[Ferdinando A. <na...@am...>]

> > * 360/360 -> shown as 30/360
> > * ACT/365 -> shown as ACT/ACT (ISDA)

this is correct, as per ISDA definitions. I.e. Act/365 is the same as
ACT/ACT. You might be interested to knoe that "Act/365 (Fixed)" is the
daycounter to use if you want a denominator always equal to 365.
Similar argument for 360/360.

> =qlDayCounterName("Actual/360")
> which returns "act/360"

this has been fixed in the CVS: qlDayCounterName now returns a valid
string that can be used later on as input paramet. It can be a string
litterally different from the one it has been used instantiating the
object, but it should always be an ISDA equivalent string.

> Perhaps we need some mechanism whereby the day counter returns the
> same string used to create it e.g.
> =qlDayCounterName("Actual/360")  ->  "Actual/360"
> =qlDayCounterName("Act/360")  ->  "Act/360"
I don't think so, as long as the returned string is ISDA equivalent.

> > 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?
please point to an ATC/nACT definition.

> > 2.) I have found that qlFrequency() also cannot
> > display any frequency shorter than 1 month.  Again is
> > this just a display problem

yes it is. I don't remember if it was already available in 0.3.13 but
you should/will use qlInterestRateIndexTenor() instead, which will
properly return 3M, 6M, etc and will also work for tenor as 5M, 7M
which are not defined as frequency. qlFrequency() will probably be
deprecated.

ciao -- Nando