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=ActualActual::ISDA)
Public Member Functions inherited from DayCounter
	DayCounter ()
bool	empty () const
	Returns whether or not the day counter is initialized.
std::string	name () const
	Returns the name of the day counter.
BigInteger	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 (const boost::shared_ptr< Impl > &impl)
Protected Attributes inherited from DayCounter
boost::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
   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.