ActualActual Class Reference
[Day counters]
#include <ql/DayCounters/actualactual.hpp>
Inheritance diagram for ActualActual:
[legend]List of all members.
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", "Actual/365", "Act/365", and "A/365";
- ISMA and US Treasury convention, also known as "Actual/Actual (Bond)";
- to AFB, also known as "Actual/Actual (Euro)".
For more details, refer to http://www.isda.org/c_and_a/pdf/mktc1198.pdf
- Warning:
- this is the same as "Actual/365", while "Actual/365 (Fixed)" is a different daycount
- Tests:
- the correctness of the results is checked against known good values.
|
Public Types |
enum | Convention {
ISMA,
Bond,
ISDA,
Historical,
AFB,
Euro
} |
Public Member Functions |
| ActualActual (Convention c=ActualActual::ISDA) |
|