Thirty360 Class Reference
[Day counters]
#include <ql/DayCounters/thirty360.hpp>
Inheritance diagram for Thirty360:
[legend]List of all members.
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, and swapvaluation.cpp.
|
Public Types |
enum | Convention {
USA,
BondBasis,
European,
EurobondBasis,
Italian
} |
Public Member Functions |
| Thirty360 (Convention c=Thirty360::USA) |
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