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, Schedule schedule=Schedule())
Public Member Functions inherited from DayCounter
	DayCounter ()=default
bool	empty () const
	Returns whether or not the day counter is initialized.
std::string	name () const
	Returns the name of the day counter.
Date::serial_type	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 (ext::shared_ptr< Impl > impl)
Protected Attributes inherited from DayCounter
ext::shared_ptr< Impl >	impl_
Related Symbols inherited from DayCounter
bool	operator== (const DayCounter &, const DayCounter &)
bool	operator!= (const DayCounter &, const DayCounter &)
std::ostream &	operator<< (std::ostream &, const DayCounter &)

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 https://www.isda.org/a/pIJEE/The-Actual-Actual-Day-Count-Fraction-1999.pdf

Tests

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

Examples

Bonds.cpp, CVAIRS.cpp, CallableBonds.cpp, and FRA.cpp.