Thirty360 Class Reference
[Day counters]

#include <ql/time/daycounters/thirty360.hpp>

Inheritance diagram for Thirty360:

Inheritance graph
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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, ConvertibleBonds.cpp, Repo.cpp, and swapvaluation.cpp.


Public Types

enum  Convention {
  USA, BondBasis, European, EurobondBasis,
  Italian
}

Public Member Functions

 Thirty360 (Convention c=Thirty360::BondBasis)