Actual360 convention in quantlib schedule

Question

I'm trying to make a payment schedule for different bonds in quantlib. For example, I made such a schedule:

schedule = ql.Schedule(effective_date, maturity_date, ql.Period(ql.Semiannual),
ql.India(), ql.ModifiedFollowing, ql.Actual365Fixed.Standard, ql.DateGeneration.Backward, False)

However, when I am trying to make another schedule with actual/360 day convention, I can't find any method in the class ql.Actual360 (like Standard in ql.Actual365Fixed) that works. I just tried this code:

schedule = ql.Schedule(effective_date, maturity_date, ql.Period(ql.Quarterly),
ql.India(), ql.ModifiedFollowing, ql.Actual360(), ql.DateGeneration.Backward, False)

with just ql.Actual360() instead. I received the following error:

TypeError: Wrong number or type of arguments for overloaded function 'new_Schedule'.

Is there a way to build a schedule with the Actual360 convention in quantlib?

Answer 1

The day-count convention doesn't enter in the schedule construction, which gives you a set of coupon dates. It only matters after the schedule is built, and gives you a measure of the time between any two dates in the schedule.

You can have the same schedule, but you can calculate the time between its dates according to different day-count conventions.

The fact that the day count seems to be used in the first constructor is misleading. ql.Actual365Fixed.Standard is a Python proxy for an enumeration, and it's actually the number 0. At that place, the Schedule constructor expects a business-day convention, another enumeration, and your 0 is interpreted as ql.Following. You're not using act/365 at all, I'm afraid.