ActualActual (3) - Linux Man Pages

ActualActual: Actual/Actual day count.

NAME

QuantLib::ActualActual - Actual/Actual day count.

SYNOPSIS


#include <ql/time/daycounters/actualactual.hpp>

Inherits QuantLib::DayCounter.

Public Types


enum Convention { ISMA, Bond, ISDA, Historical, Actual365, AFB, Euro }

Public Member Functions


ActualActual (Convention c=ActualActual::ISDA)

Detailed Description

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

Tests

the correctness of the results is checked against known good values.

Examples:

Bonds.cpp, CallableBonds.cpp, FRA.cpp, and swapvaluation.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.