Thirty360 Class Reference

30/360 day count convention More...

#include <ql/time/daycounters/thirty360.hpp>

Inheritance diagram for Thirty360:

Public Types
enum	Convention {   USA, BondBasis, European, EurobondBasis,   Italian, German }

Public Member Functions
	Thirty360 (Convention c=Thirty360::BondBasis, bool isLastPeriod=false)
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. More...
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 (const 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

30/360 day count convention

The 30/360 day count can be calculated according to US, European, Italian or German conventions.

US (NASD) convention: if the starting date is the 31st of a month, it becomes equal to the 30th of the same month. If the ending date is the 31st of a month and the starting date is earlier than the 30th of a month, the ending date becomes equal to the 1st of the next month, otherwise the ending date becomes equal to the 30th of the same month. Also known as "30/360", "360/360", or "Bond Basis"

European convention: starting dates or ending dates that occur on the 31st of a month become equal to the 30th of the same month. Also known as "30E/360", or "Eurobond Basis"

Italian convention: starting dates or ending dates that occur on February and are grater than 27 become equal to 30 for computational sake.

German convention: starting dates or ending dates that occur on the last day of February become equal to 30 for computational sake, except for the termination date. Also known as "30E/360 ISDA"

Examples

BermudanSwaption.cpp, Bonds.cpp, CDS.cpp, ConvertibleBonds.cpp, Gaussian1dModels.cpp, MulticurveBootstrapping.cpp, and Repo.cpp.