Thirty360 Class Reference
[Day counters]
#include <ql/time/daycounters/thirty360.hpp>
Inheritance diagram for Thirty360:

Detailed Description
30/360 day count conventionThe 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:
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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) |