ActualActual Class Reference

Actual/Actual day count. More...

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

Inheritance diagram for ActualActual:

Public Types

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

Public Member Functions

 ActualActual (Convention c=ActualActual::ISDA)
 
- Public Member Functions inherited from DayCounter
 DayCounter ()
 
bool empty () const
 Returns whether or not the day counter is initialized.
 
std::string name () const
 Returns the name of the day counter.
 
BigInteger dayCount (const Date &, const Date &) const
 Returns the number of days between two dates.
 
Time yearFraction (const Date &, const Date &, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) const
 Returns the period between two dates as a fraction of year.
 

Additional Inherited Members

- Protected Member Functions inherited from DayCounter
 DayCounter (const boost::shared_ptr< Impl > &impl)
 
- Protected Attributes inherited from DayCounter
boost::shared_ptr< Implimpl_
 

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.