ActualActual Class Reference
[Day counters]

#include <ql/DayCounters/actualactual.hpp>

Inheritance diagram for ActualActual:

Inheritance graph
[legend]
List of all 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/Day-Count-Fracation1999.pdf

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


Public Types

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

Public Member Functions

 ActualActual (Convention c=ActualActual::ISDA)


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