Actual/Actual day count. More...
#include <actualactual.hpp>
Inheritance diagram for ActualActual:
Collaboration diagram for ActualActual:
Classes | |
| class | AFB_Impl |
| class | ISDA_Impl |
| class | ISMA_Impl |
| class | Old_ISMA_Impl |
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. More... | |
| std::string | name () const |
| Returns the name of the day counter. More... | |
| Date::serial_type | dayCount (const Date &, const Date &) const |
| Returns the number of days between two dates. More... | |
| 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. More... | |
Static Private Member Functions | |
| static ext::shared_ptr< DayCounter::Impl > | implementation (Convention c, Schedule schedule) |
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 Functions 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.
Definition at line 51 of file actualactual.hpp.
Member Enumeration Documentation
◆ Convention
| enum Convention |
| Enumerator | |
|---|---|
| ISMA | |
| Bond | |
| ISDA | |
| Historical | |
| Actual365 | |
| AFB | |
| Euro | |
Definition at line 53 of file actualactual.hpp.
Constructor & Destructor Documentation
◆ ActualActual()
|
explicit |
Definition at line 92 of file actualactual.hpp.
Member Function Documentation
◆ implementation()
|
staticprivate |
