/src/quantlib/ql/time/daycounters/actual360.hpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl |
5 | | |
6 | | This file is part of QuantLib, a free-software/open-source library |
7 | | for financial quantitative analysts and developers - http://quantlib.org/ |
8 | | |
9 | | QuantLib is free software: you can redistribute it and/or modify it |
10 | | under the terms of the QuantLib license. You should have received a |
11 | | copy of the license along with this program; if not, please email |
12 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
13 | | <https://www.quantlib.org/license.shtml>. |
14 | | |
15 | | This program is distributed in the hope that it will be useful, but WITHOUT |
16 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
17 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
18 | | */ |
19 | | |
20 | | /*! \file actual360.hpp |
21 | | \brief act/360 day counter |
22 | | */ |
23 | | |
24 | | #ifndef quantlib_actual360_day_counter_h |
25 | | #define quantlib_actual360_day_counter_h |
26 | | |
27 | | #include <ql/time/daycounter.hpp> |
28 | | |
29 | | namespace QuantLib { |
30 | | |
31 | | //! Actual/360 day count convention |
32 | | |
33 | | /*! Actual/360 day count convention, also known as "Act/360", or "A/360". |
34 | | |
35 | | \ingroup daycounters |
36 | | */ |
37 | | class Actual360 : public DayCounter { |
38 | | private: |
39 | | class Impl final : public DayCounter::Impl { |
40 | | private: |
41 | | bool includeLastDay_; |
42 | | public: |
43 | | explicit Impl(const bool includeLastDay) |
44 | 975 | : includeLastDay_(includeLastDay) {} |
45 | 0 | std::string name() const override { |
46 | 0 | return includeLastDay_ ? |
47 | 0 | std::string("Actual/360 (inc)") |
48 | 0 | : std::string("Actual/360"); |
49 | 0 | } |
50 | 0 | Date::serial_type dayCount(const Date& d1, const Date& d2) const override { |
51 | 0 | return (d2-d1) + (includeLastDay_ ? 1 : 0); |
52 | 0 | } |
53 | | Time |
54 | 0 | yearFraction(const Date& d1, const Date& d2, const Date&, const Date&) const override { |
55 | 0 | return (daysBetween(d1,d2) |
56 | 0 | + (includeLastDay_ ? 1.0 : 0.0))/360.0; |
57 | 0 | } |
58 | | }; |
59 | | public: |
60 | | explicit Actual360(const bool includeLastDay = false) |
61 | 975 | : DayCounter(ext::shared_ptr<DayCounter::Impl>( |
62 | 975 | new Actual360::Impl(includeLastDay))) {} |
63 | | }; |
64 | | |
65 | | } |
66 | | |
67 | | #endif |