ActualActual (3) - Linux Man Pages
ActualActual: Actual/Actual day count.
QuantLib::ActualActual - Actual/Actual day count.
Public Member Functions
Actual/Actual day count.
The day count can be calculated according to:
- the ISDA convention, also known as 'Actual/Actual (Historical)', 'Actual/Actual', 'Act/Act', and according to ISDA also 'Actual/365', 'Act/365', and 'A/365';
- the ISMA and US Treasury convention, also known as 'Actual/Actual (Bond)';
- the AFB convention, also known as 'Actual/Actual (Euro)'.
For more details, refer to http://www.isda.org/publications/pdf/Day-Count-Fracation1999.pdf
- the correctness of the results is checked against known good values.
Bonds.cpp, CallableBonds.cpp, FRA.cpp, and swapvaluation.cpp.
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