Merge pull request #1061.

Fix actual/actual (ISMA) day counter calculation for long/short final periods
lballabio · Mar 9, 2021 · 3f6b727 · 3f6b727
2 parents 553bb1c + bae0cd3
commit 3f6b727
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Showing 3 changed files with 162 additions and 18 deletions.
diff --git a/ql/time/daycounters/actualactual.cpp b/ql/time/daycounters/actualactual.cpp
@@ -50,26 +50,53 @@ namespace QuantLib {
                                                    const Schedule& schedule) {
             // Process the schedule into an array of dates.
             Date issueDate = schedule.date(0);
-            Date firstCoupon = schedule.date(1);
-            Date notionalCoupon =
-                schedule.calendar().advance(firstCoupon,
-                                            -schedule.tenor(),
-                                            schedule.businessDayConvention(),
-                                            schedule.endOfMonth());
-
             std::vector<Date> newDates = schedule.dates();
-            newDates[0] = notionalCoupon;
-
-            //long first coupon
-            if (notionalCoupon > issueDate) {
-                Date priorNotionalCoupon =
-                    schedule.calendar().advance(notionalCoupon,
-                                                -schedule.tenor(),
-                                                schedule.businessDayConvention(),
-                                                schedule.endOfMonth());
-                newDates.insert(newDates.begin(),
-                                priorNotionalCoupon); //insert as the first element?
+
+            if (!schedule.hasIsRegular() || !schedule.isRegular(1))
+            {
+                Date firstCoupon = schedule.date(1);
+
+                Date notionalFirstCoupon =
+                    schedule.calendar().advance(firstCoupon,
+                        -schedule.tenor(),
+                        schedule.businessDayConvention(),
+                        schedule.endOfMonth());
+
+                newDates[0] = notionalFirstCoupon;
+
+                //long first coupon
+                if (notionalFirstCoupon > issueDate) {
+                    Date priorNotionalCoupon =
+                        schedule.calendar().advance(notionalFirstCoupon,
+                                                    -schedule.tenor(),
+                                                    schedule.businessDayConvention(),
+                                                    schedule.endOfMonth());
+                    newDates.insert(newDates.begin(),
+                                    priorNotionalCoupon); //insert as the first element?
+                }
             }
+
+            if (!schedule.hasIsRegular() || !schedule.isRegular(schedule.size() - 1))
+            {
+                Date notionalLastCoupon =
+                    schedule.calendar().advance(schedule.date(schedule.size() - 2),
+                        schedule.tenor(),
+                        schedule.businessDayConvention(),
+                        schedule.endOfMonth());
+
+                newDates[schedule.size() - 1] = notionalLastCoupon;
+
+                if (notionalLastCoupon < schedule.endDate())
+                {
+                    Date nextNotionalCoupon =
+                        schedule.calendar().advance(notionalLastCoupon,
+                                                    schedule.tenor(),
+                                                    schedule.businessDayConvention(),
+                                                    schedule.endOfMonth());
+                    newDates.push_back(nextNotionalCoupon);
+                }
+            }
+
             return newDates;
         }
 

diff --git a/test-suite/daycounters.cpp b/test-suite/daycounters.cpp
@@ -210,6 +210,121 @@ void DayCounterTest::testActualActual() {
     }
 }
 
+void DayCounterTest::testActualActualIsma()
+{
+    BOOST_TEST_MESSAGE("Testing actual/actual (ISMA) with odd last period...");
+
+    bool isEndOfMonth(false);
+    Frequency frequency(Semiannual);
+    Date interestAccrualDate(30, Jan, 1999);
+    Date maturityDate(30, Jun, 2000);
+    Date firstCouponDate(30, Jul, 1999);
+    Date penultimateCouponDate(30, Jan, 2000);
+    Date d1(30, Jan, 2000);
+    Date d2(30, Jun, 2000);
+
+    double expected(152. / (182. * 2));
+
+    Schedule schedule = MakeSchedule()
+        .from(interestAccrualDate)
+        .to(maturityDate)
+        .withFrequency(frequency)
+        .withFirstDate(firstCouponDate)
+        .withNextToLastDate(penultimateCouponDate)
+        .endOfMonth(isEndOfMonth);
+
+    DayCounter dayCounter = ActualActual(ActualActual::ISMA, schedule);
+
+    double calculated(dayCounter.yearFraction(d1, d2));
+
+    if (std::fabs(calculated - expected) > 1.0e-10) {
+        std::ostringstream period;
+        period << "period:                " << d1 << " to " << d2 << "\n"
+               << "firstCouponDate:       " << firstCouponDate << "\n"
+               << "penultimateCouponDate: " << penultimateCouponDate << "\n";
+        BOOST_ERROR(dayCounter.name() << ":\n"
+            << period.str()
+            << std::setprecision(10)
+            << "    calculated: " << calculated << "\n"
+            << "    expected:   " << expected);
+    }
+
+    //////////////////////////////////
+
+    isEndOfMonth = true;
+    frequency = Quarterly;
+    interestAccrualDate = Date(31, May, 1999);
+    maturityDate = Date(30, Apr, 2000);
+    firstCouponDate = Date(31, Aug, 1999);
+    penultimateCouponDate = Date(30, Nov, 1999);
+    d1 = Date(30, Nov, 1999);
+    d2 = Date(30, Apr, 2000);
+
+    expected = 91.0 / (91.0 * 4) + 61.0 / (92.0 * 4);
+
+    schedule = MakeSchedule()
+        .from(interestAccrualDate)
+        .to(maturityDate)
+        .withFrequency(frequency)
+        .withFirstDate(firstCouponDate)
+        .withNextToLastDate(penultimateCouponDate)
+        .endOfMonth(isEndOfMonth);
+
+    dayCounter = ActualActual(ActualActual::ISMA, schedule);
+
+    calculated = dayCounter.yearFraction(d1, d2);
+
+    if (std::fabs(calculated - expected) > 1.0e-10) {
+        std::ostringstream period;
+        period << "period:                " << d1 << " to " << d2 << "\n"
+               << "firstCouponDate:       " << firstCouponDate << "\n"
+               << "penultimateCouponDate: " << penultimateCouponDate << "\n";
+        BOOST_ERROR(dayCounter.name() << ":\n"
+            << period.str()
+            << std::setprecision(10)
+            << "    calculated: " << calculated << "\n"
+            << "    expected:   " << expected);
+    }
+
+
+    //////////////////////////////////
+
+    isEndOfMonth = false;
+    frequency = Quarterly;
+    interestAccrualDate = Date(31, May, 1999);
+    maturityDate = Date(30, Apr, 2000);
+    firstCouponDate = Date(31, Aug, 1999);
+    penultimateCouponDate = Date(30, Nov, 1999);
+    d1 = Date(30, Nov, 1999);
+    d2 = Date(30, Apr, 2000);
+
+    expected = 91.0 / (91.0 * 4) + 61.0 / (90.0 * 4);
+
+    schedule = MakeSchedule()
+        .from(interestAccrualDate)
+        .to(maturityDate)
+        .withFrequency(frequency)
+        .withFirstDate(firstCouponDate)
+        .withNextToLastDate(penultimateCouponDate)
+        .endOfMonth(isEndOfMonth);
+
+    dayCounter = ActualActual(ActualActual::ISMA, schedule);
+
+    calculated = dayCounter.yearFraction(d1, d2);
+
+    if (std::fabs(calculated - expected) > 1.0e-10) {
+        std::ostringstream period;
+        period << "period:                " << d1 << " to " << d2 << "\n"
+               << "firstCouponDate:       " << firstCouponDate << "\n"
+               << "penultimateCouponDate: " << penultimateCouponDate << "\n";
+        BOOST_ERROR(dayCounter.name() << ":\n"
+            << period.str()
+            << std::setprecision(10)
+            << "    calculated: " << calculated << "\n"
+            << "    expected:   " << expected);
+    }
+}
+
 void DayCounterTest::testActualActualWithSemiannualSchedule() {
 
     BOOST_TEST_MESSAGE("Testing actual/actual with schedule "
@@ -941,6 +1056,7 @@ void DayCounterTest::testIntraday() {
 test_suite* DayCounterTest::suite() {
     auto* suite = BOOST_TEST_SUITE("Day counter tests");
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testActualActual));
+    suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testActualActualIsma));
     suite->add(QUANTLIB_TEST_CASE(
                     &DayCounterTest::testActualActualWithSemiannualSchedule));
     suite->add(QUANTLIB_TEST_CASE(

diff --git a/test-suite/daycounters.hpp b/test-suite/daycounters.hpp
@@ -28,6 +28,7 @@
 class DayCounterTest {
    public:
     static void testActualActual();
+    static void testActualActualIsma();
     static void testActualActualWithSchedule();
     static void testActualActualWithAnnualSchedule();
     static void testActualActualWithSemiannualSchedule();