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", 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 http://www.isda.org/publications/pdf/Day-Count-Fracation1999.pdf
- 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) |
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