actualactual(3)

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

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