Hi I am trying to create a zero curve from continuous rates data. I keep getting an error "RuntimeError: two dates correspond to the same time under this curve's day count convention". What am I doing wrong? Identical function but replacing the daycount with ql.Thirty360 works fine. I also tried replacing compounding and frequency input with ql.Continuous and ql.NoFrequency but it didn't make any difference. Thanks in advance for any help!
In short: the passed dates are converted into times, and the times are used to interpolate the passed rates. The conversion is done by taking the first passed date as t=0, and by assigning to each further date d the time t = dayCounter.yearFraction(dates[0], d).
What is happening is that the act/act day counter calculates the same time for two different dates, and the code doesn't know how to build the interpolation in this case. As Dimitri said, the error message is not helpful; but you can find the relevant dates by running something like:
day_count = ql.ActualActual(ActualActual.ISMA)
for d in spotDates:
print(d, day_count.yearFraction(spotDates[0], d))
and looking for identical times.
However, note that using a day counter like Act/Act for a curve is not great; see the video at https://www.youtube.com/watch?v=dQjd3hAshj4 for more info. If the rates you have available are indeed using the act/act convention, you might be better off converting them into discount factors and using the DiscountCurve class instead with a more regular day count.
