QuantLib 0.3.6
User manual
Introduction to QuantLib
QuantLib components
Reference manual
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The concrete class QuantLib::Date implements the concept of date. Its functionalities include:
- providing basic information such as weekday, day of the month, day of the year, month, and year;
- comparing two dates to determine whether they are equal, or which one is the earlier or later, or the difference between them expressed in days;
- incrementing or decrementing a date of a given number of days, or of a given period expressed in weeks, months, or years.
The abstract class QuantLib::Calendar provides the interface for determining whether a date is a business day or a holiday for a given market, or incrementing/decrementing a date of a given number of business days. A number of calendars is contained in the ql/Calendars directory.
The abstract class QuantLib::DayCounter provides more advanced means of measuring the distance between two dates according to a given market convention, both as number of days of fraction of year. A number of such conventions is contained in the ql/DayCounters directory, namely,
- Actual/360
- Actual/365
- Actual/Actual, which can be calculated according to:
- ISMA and US Treasury convention, also known as "Actual/Actual (Bond)";
- ISDA, also known as "Actual/Actual (Historical)";
- AFB, also known as "Actual/Actual (Euro)";
- 30/360, which can be calculated according to:
- USA convention;
- European convention;
- Italian convention.
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