Comments (5)
You might be interested to look in the OpenSourceRisk project. They have CORRA implemented: https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/indexes/ibor/corra.hpp
It may be possible to move this code into QuantLib itself.
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Methodology for calculating the Canadian Overnight Repo Rate Average (CORRA) says:
Term and time to settlement—Only repos with an overnight term for same-day settlement of the opening leg are included: that is, overnight trades that are agreed to and settled on the same day (T + 0).
So i think settlementDays is 0, as for other repo indexes.
CORRA is published each day that Schedule I banks under the Bank Act (Canada) are open for business in Toronto, Ontario, Canada.
That sounds like normal bank holidays to me, which is what i believe the Canada(Settlement) calendar represents.
There's no explicit mention of a day count convention there. The convention will be whatever is used in the repo market. However, the CORRA Compounded Index is defined in terms of CORRA using a 365-day year, which suggests that CORRA is actual/365.
How-to Guide: SFTR repo day-count conventions, a piece by some hardcore repo transaction reporting geek, gets into some glorious detail about repo day count conventions, and says:
In the UK and Japanese, Canadian, Australian and New Zealand domestic markets the convention is Act/365 Fixed, the actual number of days interest divided by 365 days in a year, regardless of leap-years. This is denoted by A005.
So dayCounter is Actual365Fixed().
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Is anyone working on this? I am a new contributor - I think this is a new contributor friendly issue. Can I work on this?
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Sure, go ahead!
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PR here: #1705
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