[Quantlib-dev] actact (Bond) yearFraction() function...

[Toyin A. <toy...@ho...>]

Hi All,

I've been playing with some of the Daycounter classes, viewing their results 
and I believe I'm getting some strange numbers with the actact (Bond) 
(ActualActual(ActualActual::Bond)) class.

Basically, when building a FixedCoupon schedule (for example), apart from 
the first and last coupon periods (which may be stubs), the cashflows 
in-between will use the same start/end dates for the refStart/refEnd dates.

Now given a period such as 7/6/2002 -> 21/12/2002, the actact (Bond) will 
compute a yearFraction value of 0.5

However, it will also compute a value of 0.5 for any start date in the range

7/6/2002 - > 6/7/2002

with the same EndDate : 21/12/2002.

Within my (hacked) environment, when I pass in the unAdjusted schedule dates 
to the refPeriod dates. I obtain a more likely (to me) set of results.

Basically, is the correct operation of the actact (Bond) dayCounter, given 
the above set of dates, correct? Does it depend on the market (ie Bond 
cashflows vs swap fixed leg rate cashflows).

I'm wondering whether the other Daycounter's also have differences in output 
if it is correct to utilise unAdjusted coupon dates for the refDates.

Thoughts...
Toy out.