ActualActual Class Reference

Actual/Actual day count. More...

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

Inheritance diagram for ActualActual:

List of all members.

Public Types

enum  Convention {
  ISMA, Bond, ISDA, Historical,
  Actual365, AFB, Euro
}

Public Member Functions

 ActualActual (Convention c=ActualActual::ISDA)

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:

Bonds.cpp, CallableBonds.cpp, FRA.cpp, and swapvaluation.cpp.