yearcounter.cpp

Go to the documentation of this file.

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2019 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <ql/time/daycounters/actualactual.hpp>
#include <qle/time/yearcounter.hpp>
 
using QuantLib::Date;
using QuantLib::Time;
 
namespace QuantExt {
namespace {
    QuantLib::DayCounter underlyingDCF = QuantLib::ActualActual(QuantLib::ActualActual::ISDA);
}
 
Date::serial_type YearCounter::Impl::dayCount(const Date& d1, const Date& d2) const {
    return underlyingDCF.dayCount(d1, d2);
}
 
Time YearCounter::Impl::yearFraction(const Date& d1, const Date& d2, const Date&, const Date&) const {
    Time t = underlyingDCF.yearFraction(d1, d2);
 
    return std::floor(0.5 + t); // rounding to the nearest integer
}
 
} // namespace QuantExt