QuantLib_Thirty360 (3) - Linux Manuals

QuantLib_Thirty360: 30/360 day count convention

NAME

QuantLib::Thirty360 - 30/360 day count convention

SYNOPSIS

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

Inherits QuantLib::DayCounter.

Public Types

enum Convention { USA, BondBasis, European, EurobondBasis, Italian }

Public Member Functions

Thirty360 (Convention c=Thirty360::BondBasis)

Detailed Description

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.

Examples:

BermudanSwaption.cpp, Bonds.cpp, ConvertibleBonds.cpp, Repo.cpp, and swapvaluation.cpp.

Author

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