/src/quantlib/ql/time/daycounters/actual365fixed.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 | | Copyright (C) 2004 Ferdinando Ametrano |
6 | | Copyright (C) 2013 BGC Partners L.P. |
7 | | |
8 | | This file is part of QuantLib, a free-software/open-source library |
9 | | for financial quantitative analysts and developers - http://quantlib.org/ |
10 | | |
11 | | QuantLib is free software: you can redistribute it and/or modify it |
12 | | under the terms of the QuantLib license. You should have received a |
13 | | copy of the license along with this program; if not, please email |
14 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
15 | | <https://www.quantlib.org/license.shtml>. |
16 | | |
17 | | This program is distributed in the hope that it will be useful, but WITHOUT |
18 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
19 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
20 | | */ |
21 | | |
22 | | /*! \file actual365fixed.hpp |
23 | | \brief Actual/365 (Fixed) day counter |
24 | | */ |
25 | | |
26 | | #ifndef quantlib_actual365fixed_day_counter_h |
27 | | #define quantlib_actual365fixed_day_counter_h |
28 | | |
29 | | #include <ql/time/daycounter.hpp> |
30 | | |
31 | | namespace QuantLib { |
32 | | |
33 | | //! Actual/365 (Fixed) day count convention |
34 | | /*! "Actual/365 (Fixed)" day count convention, also know as |
35 | | "Act/365 (Fixed)", "A/365 (Fixed)", or "A/365F". |
36 | | |
37 | | \warning According to ISDA, "Actual/365" (without "Fixed") is |
38 | | an alias for "Actual/Actual (ISDA)" (see |
39 | | ActualActual.) If Actual/365 is not explicitly |
40 | | specified as fixed in an instrument specification, |
41 | | you might want to double-check its meaning. |
42 | | |
43 | | \ingroup daycounters |
44 | | */ |
45 | | class Actual365Fixed : public DayCounter { |
46 | | public: |
47 | | enum Convention { Standard, Canadian, NoLeap }; |
48 | | explicit Actual365Fixed(Convention c = Actual365Fixed::Standard) |
49 | 5.59k | : DayCounter(implementation(c)) {} |
50 | | |
51 | | private: |
52 | | class Impl final : public DayCounter::Impl { |
53 | | public: |
54 | 0 | std::string name() const override { return std::string("Actual/365 (Fixed)"); } |
55 | | Time |
56 | 71 | yearFraction(const Date& d1, const Date& d2, const Date&, const Date&) const override { |
57 | 71 | return daysBetween(d1,d2)/365.0; |
58 | 71 | } |
59 | | }; |
60 | | class CA_Impl final : public DayCounter::Impl { |
61 | | public: |
62 | 0 | std::string name() const override { |
63 | 0 | return std::string("Actual/365 (Fixed) Canadian Bond"); |
64 | 0 | } |
65 | | Time yearFraction(const Date& d1, |
66 | | const Date& d2, |
67 | | const Date& refPeriodStart, |
68 | | const Date& refPeriodEnd) const override; |
69 | | }; |
70 | | class NL_Impl final : public DayCounter::Impl { |
71 | | public: |
72 | 0 | std::string name() const override { return std::string("Actual/365 (No Leap)"); } |
73 | | Date::serial_type dayCount(const Date& d1, const Date& d2) const override; |
74 | | Time yearFraction(const Date& d1, |
75 | | const Date& d2, |
76 | | const Date& refPeriodStart, |
77 | | const Date& refPeriodEnd) const override; |
78 | | }; |
79 | | static ext::shared_ptr<DayCounter::Impl> implementation(Convention); |
80 | | }; |
81 | | |
82 | | } |
83 | | |
84 | | #endif |