[BUG] Error in ActualActualISMA daycounter for long/short final periods about qlnet

[igitur]

@kristofferpagels @amaggiulli Let me check this against upstream first, please.

[igitur]

@kristofferpagels Help me out, please. What are the actual 3 values you get for the last 3 failing tests?

[kristofferpagels]

The actual and expected values for the three failing test cases can be seen here

TestCase	Expected YearFraction	Actual YearFraction
example d: short final calculation period	152.0 / (182.0 * 2) = 0.41758	0.5
example e: long final calculation period - eom	(91.0 / (91.0 * 4)) + (61.0 / (92.0 * 4)) = 0.41576	0.5
example e: long final calculation period - not eom	(91.0 / (91.0 * 4)) + (61.0 / (90.0 * 4)) = 0.41944	0.5

[igitur]

I get the same calculated values of 0.5 in upstream QuantLib. My suggestion would be to resolve this issue in QuantLib first and then we'll port it to QLNet. I think it would be quite dangerous to have a discrepancy in the day counters of the 2 projects. @amaggiulli, however, this is your decision to make.

I have prepared a C++ test case though.

void DayCounterTest::testActualActualSchedule()
{
    BOOST_TEST_MESSAGE("Testing actual actual ISMA with odd first and last periods ...");

    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;
        BOOST_ERROR(dayCounter.name() << ":\n"
            << period.str() << "\n"
            << 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;
        BOOST_ERROR(dayCounter.name() << ":\n"
            << period.str() << "\n"
            << 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;
        BOOST_ERROR(dayCounter.name() << ":\n"
            << period.str() << "\n"
            << std::setprecision(10)
            << "    calculated: " << calculated << "\n"
            << "    expected:   " << expected);
    }
}

[amaggiulli]

Thanks @kristofferpagels for contribution, I'm going to fix the issue using the solution provided. @igitur our bug fixing is absolutely not dependent on Quantlib bug fixing , is a good practice tough to report back any issue we could find in code.