ActualActual Class Reference
[Day counters]
#include <ql/time/daycounters/actualactual.hpp>
Inheritance diagram for ActualActual:

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.
- Examples:
-
FRA.cpp, and swapvaluation.cpp.
Public Types | |
enum | Convention { ISMA, Bond, ISDA, Historical, Actual365, AFB, Euro } |
Public Member Functions | |
ActualActual (Convention c=ActualActual::ISDA) |