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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
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 actualactual.hpp
\brief act/act day counters
*/
#ifndef quantlib_actualactual_day_counter_h
#define quantlib_actualactual_day_counter_h
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>
#include <utility>
namespace QuantLib {
//! 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
\ingroup daycounters
\test the correctness of the results is checked against known
good values.
*/
class ActualActual : public DayCounter {
public:
enum Convention { ISMA, Bond,
ISDA, Historical, Actual365,
AFB, Euro };
private:
class ISMA_Impl final : public DayCounter::Impl {
public:
explicit ISMA_Impl(Schedule schedule) : schedule_(std::move(schedule)) {}
std::string name() const override { return std::string("Actual/Actual (ISMA)"); }
Time yearFraction(const Date& d1,
const Date& d2,
const Date& refPeriodStart,
const Date& refPeriodEnd) const override;
private:
Schedule schedule_;
};
class Old_ISMA_Impl final : public DayCounter::Impl {
public:
std::string name() const override { return std::string("Actual/Actual (ISMA)"); }
Time yearFraction(const Date& d1,
const Date& d2,
const Date& refPeriodStart,
const Date& refPeriodEnd) const override;
};
class ISDA_Impl final : public DayCounter::Impl {
public:
std::string name() const override { return std::string("Actual/Actual (ISDA)"); }
Time
yearFraction(const Date& d1, const Date& d2, const Date&, const Date&) const override;
};
class AFB_Impl final : public DayCounter::Impl {
public:
std::string name() const override { return std::string("Actual/Actual (AFB)"); }
Time
yearFraction(const Date& d1, const Date& d2, const Date&, const Date&) const override;
};
static ext::shared_ptr<DayCounter::Impl> implementation(Convention c, Schedule schedule);
public:
explicit ActualActual(Convention c, Schedule schedule = Schedule())
: DayCounter(implementation(c, std::move(schedule))) {}
};
}
#endif
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