Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [13854] trunk/QuantLib/ql/interestrate.hpp

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

On Dec 20, 2007 11:11 PM, Luigi Ballabio <lui...@gm...> wrote:
> > Log Message:
> > -----------
> > added default parameters
> >
> > @@ -45,8 +45,8 @@
> >          InterestRate();
> >          //! Standard constructor
> >          InterestRate(Rate r,
> > -                     const DayCounter& dc,
> > -                     Compounding comp,
> > +                     const DayCounter& dc = Actual365Fixed(),
> > +                     Compounding comp = Continuous,
> >                       Frequency freq = Annual);
> >          //@}
> >          //! \name conversions
>
> Nando,
>         somehow I can see that the compounding may default to Continuous, but
> why should the day-count convention default to actual/365?

Actual/365Fixed is the default DayCounter we use in all
TermStructures, in order to minimize the inconsistency risk of using
different DayCounters for differerent (vol/yield) TermStructures.

In few places InterestRate is used to define a FlatForward and its
DayCounter is used as the YieldTermStructure's DayCounter, so I
default it to Actual365Fixed. Besides this is the usual assumption in
the textbook examples (e.g. Hull), where you would want 5 years to be
5.0 (and for this reason ActualActual::ISDA would be even better...)

Actually any strictly monotone DayCounter (Actual360, Actual/365Fixed,
ActualActual::ISDA) would be ok as default DayCounter for
TermStructures.
It's quite a while that I've been considering to define the default
DayCounter in userconfig.hpp (and switch to ActualActual::ISDA in the
meantime): any objection if I do it?

ciao -- Nando