QuantLib_ActualActual man page

ActualActual — Actual/Actual day count.

Synopsis

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

Inherits DayCounter.

Public Types

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

Public Member Functions

ActualActual (Convention c=ActualActual::ISDA)

Additional Inherited Members

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/Da…

Tests

the correctness of the results is checked against known good values.

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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ActualActual(3) is an alias of QuantLib_ActualActual(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib