ActualActual (3) - Linux Manuals

ActualActual: Actual/Actual day count.


QuantLib::ActualActual - Actual/Actual day count.


#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


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


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


Generated automatically by Doxygen for QuantLib from the source code.