Fixed bug in index (calculation of daycountFraction)
@@ -64,7 +64,7 @@ public class NumerairePerformanceIndex extends AbstractIndex {
LocalDate paymentDate = paymentBusinessdayCalendar.getAdjustedDate(fixingDate.toLocalDate(), paymentOffsetCode, paymentDateRollConvention);
double paymentTime = FloatingpointDate.getFloatingPointDateFromDate(referenceDate, LocalDateTime.of(paymentDate, fixingDate.toLocalTime()));
- double periodLength = daycountConvention.getDaycount(fixingDate.toLocalDate(), paymentDate);
+ double periodLength = daycountConvention.getDaycountFraction(fixingDate.toLocalDate(), paymentDate);
/*
* Fetch numeraire performance rate from model
