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, const Schedule &schedule=Schedule())

Additional Inherited Members

Detailed Description

Actual/Actual day count.

The day count can be calculated according to:

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page ActualActual(3) is an alias of QuantLib_ActualActual(3).

Wed Aug 2 2017 Version 1.10 QuantLib