The class encapsulates the ActAct USDAyear fraction convention. More...

Inheritance diagram for julian::ActActISDA:

Public Member Functions
virtual double	operator() (const Date &, const Date &) const
	Method calculates the year fraction on the basis of two dates. More...

virtual ActActISDA *	clone () const

virtual std::string	info () const

Public Member Functions inherited from julian::YearFraction
	YearFraction ()
	Constructor. More...

virtual	~YearFraction ()
	Destructor. More...

Private Member Functions
template<class Archive >
void	serialize (Archive &, const unsigned int)
	interface used by Boost serialization library More...

Detailed Description

The class encapsulates the ActAct USDAyear fraction convention.

With ISDA convention (International Swaps and Derivative Association) the year fraction is calculated according to the formula:

$YearFraction(date_1,date_2) = \frac{\textrm{Number of days in non-leap year}}{365} + \frac{\textrm{Number of days in leap year}}{366}$

Examples:: bootstrapperComparison.cpp, DatesAndCalendarExample.cpp, and serializationExample.cpp.

Member Function Documentation

ActActISDA * julian::ActActISDA::clone ( ) const

virtual

Virtual copy constructor of the ACTACT ISDA class

std::string julian::ActActISDA::info ( ) const

virtual

The method returns string containing the name of convention.

double julian::ActActISDA::operator()	(	const Date &	input1,
		const Date &	input2
	)		const

virtual

Method calculates the year fraction on the basis of two dates.

With ISDA convention (International Swaps and Derivative Association) the year fraction is calculated according to the formula:

$YearFraction(date_1,date_2) = \frac{\textrm{Number of days in non-leap year}}{365} + \frac{\textrm{Number of days in leap year}}{366}$

template<class Archive >

void julian::ActActISDA::serialize	(	Archive &	,
		const unsigned	int
	)

inlineprivate

interface used by Boost serialization library

The documentation for this class was generated from the following files: