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 } |
Public Member Functions | |
| Thirty360 (Convention c=Thirty360::BondBasis) | |
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 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 &) |
30/360 day count convention
The 30/360 day count can be calculated according to US, European, or Italian 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.