ActualActual Class Reference
[Day counters]

#include <ql/time/daycounters/actualactual.hpp>

Inheritance diagram for ActualActual:

Inheritance graph
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List of all members.

Detailed Description

Actual/Actual day count.

The day count can be calculated according to:

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)