1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2022 Ignacio Anguita
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file actual366.hpp
\brief act/366 day counter
*/
#ifndef quantlib_actual366_day_counter_h
#define quantlib_actual366_day_counter_h
#include <ql/time/daycounter.hpp>
namespace QuantLib {
//! Actual/366 day count convention
/*! Actual/366 day count convention, also known as "Act/366".
\ingroup daycounters
*/
class Actual366 : public DayCounter {
private:
class Impl final : public DayCounter::Impl {
private:
bool includeLastDay_;
public:
explicit Impl(const bool includeLastDay)
: includeLastDay_(includeLastDay) {}
std::string name() const override {
return includeLastDay_ ?
std::string("Actual/366 (inc)")
: std::string("Actual/366");
}
Date::serial_type dayCount(const Date& d1, const Date& d2) const override {
return (d2-d1) + (includeLastDay_ ? 1 : 0);
}
Time
yearFraction(const Date& d1, const Date& d2, const Date&, const Date&) const override {
return (daysBetween(d1,d2)
+ (includeLastDay_ ? 1.0 : 0.0))/366.0;
}
};
public:
explicit Actual366(const bool includeLastDay = false)
: DayCounter(ext::shared_ptr<DayCounter::Impl>(
new Actual366::Impl(includeLastDay))) {}
};
}
#endif
|
