QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Actual/Actual day count. More...
#include <actualactual.hpp>
Classes | |
class | AFB_Impl |
class | ISDA_Impl |
class | ISMA_Impl |
class | Old_ISMA_Impl |
Public Types | |
enum | Convention { ISMA , Bond , ISDA , Historical , Actual365 , AFB , Euro } |
Public Member Functions | |
ActualActual (Convention c, Schedule schedule=Schedule()) | |
Public Member Functions inherited from DayCounter | |
DayCounter ()=default | |
bool | empty () const |
Returns whether or not the day counter is initialized. More... | |
std::string | name () const |
Returns the name of the day counter. More... | |
Date::serial_type | dayCount (const Date &, const Date &) const |
Returns the number of days between two dates. More... | |
Time | yearFraction (const Date &, const Date &, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) const |
Returns the period between two dates as a fraction of year. More... | |
Static Private Member Functions | |
static ext::shared_ptr< DayCounter::Impl > | implementation (Convention c, Schedule schedule) |
Additional Inherited Members | |
Protected Member Functions inherited from DayCounter | |
DayCounter (ext::shared_ptr< Impl > impl) | |
Protected Attributes inherited from DayCounter | |
ext::shared_ptr< Impl > | impl_ |
Related Functions inherited from DayCounter | |
bool | operator== (const DayCounter &, const DayCounter &) |
bool | operator!= (const DayCounter &, const DayCounter &) |
std::ostream & | operator<< (std::ostream &, const DayCounter &) |
Actual/Actual day count.
The day count can be calculated according to:
For more details, refer to https://www.isda.org/a/pIJEE/The-Actual-Actual-Day-Count-Fraction-1999.pdf
Definition at line 51 of file actualactual.hpp.
enum Convention |
Enumerator | |
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ISMA | |
Bond | |
ISDA | |
Historical | |
Actual365 | |
AFB | |
Euro |
Definition at line 53 of file actualactual.hpp.
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explicit |
Definition at line 92 of file actualactual.hpp.
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staticprivate |