Thirty360 (3) - Linux Manuals
Thirty360: 30/360 day count convention
NAME
QuantLib::Thirty360 - 30/360 day count convention
SYNOPSIS
#include <ql/time/daycounters/thirty360.hpp>
Inherits QuantLib::DayCounter.
Public Types
enum Convention { USA, BondBasis, European, EurobondBasis, Italian }
Public Member Functions
Thirty360 (Convention c=Thirty360::BondBasis)
Detailed Description
30/360 day count convention
The 30/360 day count can be calculated according to US, European, or Italian conventions.
US (NASD) convention: if the starting date is the 31st of a month, it becomes equal to the 30th of the same month. If the ending date is the 31st of a month and the starting date is earlier than the 30th of a month, the ending date becomes equal to the 1st of the next month, otherwise the ending date becomes equal to the 30th of the same month. Also known as '30/360', '360/360', or 'Bond Basis'
European convention: starting dates or ending dates that occur on the 31st of a month become equal to the 30th of the same month. Also known as '30E/360', or 'Eurobond Basis'
Italian convention: starting dates or ending dates that occur on February and are grater than 27 become equal to 30 for computational sake.
Examples:
BermudanSwaption.cpp, Bonds.cpp, ConvertibleBonds.cpp, Repo.cpp, and swapvaluation.cpp.
Author
Generated automatically by Doxygen for QuantLib from the source code.