Modules | |
Calendars | |
Day counters | |
Classes | |
class | DateInterval |
Date interval described by a number of a given time unit. More... | |
class | PricingPeriod |
Time pricingperiod described by a number of a given time unit. More... | |
class | Calendar::Impl |
abstract base class for calendar implementations More... | |
class | Calendar::WesternImpl |
partial calendar implementation More... | |
class | Calendar::OrthodoxImpl |
partial calendar implementation More... | |
class | Calendar |
calendar class More... | |
class | Date |
Concrete date class. More... | |
struct | DateGeneration |
Date-generation rule. More... | |
class | DayCounter::Impl |
abstract base class for day counter implementations More... | |
class | DayCounter |
day counter class More... | |
class | Period |
class | Schedule |
Payment schedule. More... | |
Typedefs | |
typedef Integer | Day |
Day number. More... | |
typedef Integer | Year |
Year number. More... | |
Enumerations | |
enum | BusinessDayConvention { Following, ModifiedFollowing, Preceding, ModifiedPreceding, Unadjusted, HalfMonthModifiedFollowing, Nearest } |
Business Day conventions. More... | |
enum | Month { January = 1, February = 2, March = 3, April = 4, May = 5, June = 6, July = 7, August = 8, September = 9, October = 10, November = 11, December = 12, Jan = 1, Feb = 2, Mar = 3, Apr = 4, Jun = 6, Jul = 7, Aug = 8, Sep = 9, Oct = 10, Nov = 11, Dec = 12 } |
Month names. More... | |
enum | Rule { Backward, Forward, Zero, ThirdWednesday, Twentieth, TwentiethIMM, OldCDS, CDS } |
enum | Frequency { NoFrequency = -1, Once = 0, Annual = 1, Semiannual = 2, EveryFourthMonth = 3, Quarterly = 4, Bimonthly = 6, Monthly = 12, EveryFourthWeek = 13, Biweekly = 26, Weekly = 52, Daily = 365, OtherFrequency = 999 } |
Frequency of events. More... | |
enum | TimeUnit { Days, Weeks, Months, Years } |
Units used to describe time periods. More... | |
enum | Weekday { Sunday = 1, Monday = 2, Tuesday = 3, Wednesday = 4, Thursday = 5, Friday = 6, Saturday = 7, Sun = 1, Mon = 2, Tue = 3, Wed = 4, Thu = 5, Fri = 6, Sat = 7 } |
The concrete class QuantLib::Date
implements the concept of date. Its functionalities include:
typedef Integer Day |
Day number.
typedef Integer Year |
Year number.
enum BusinessDayConvention |
Business Day conventions.
These conventions specify the algorithm used to adjust a date in case it is not a valid business day.
enum Month |
Month names.
enum Rule |
Enumerator | |
---|---|
Backward |
Backward from termination date to effective date. |
Forward |
Forward from effective date to termination date. |
Zero |
No intermediate dates between effective date and termination date. |
ThirdWednesday |
All dates but effective date and termination date are taken to be on the third wednesday of their month (with forward calculation.) |
Twentieth |
All dates but the effective date are taken to be the twentieth of their month (used for CDS schedules in emerging markets.) The termination date is also modified. |
TwentiethIMM |
All dates but the effective date are taken to be the twentieth of an IMM month (used for CDS schedules.) The termination date is also modified. |
OldCDS |
Same as TwentiethIMM with unrestricted date ends and log/short stub coupon period (old CDS convention). |
CDS |
Credit derivatives standard rule since 'Big Bang' changes in 2009. |
enum Frequency |
Frequency of events.
enum TimeUnit |
Units used to describe time periods.
enum Weekday |
Day's serial number MOD 7; WEEKDAY Excel function is the same except for Sunday = 7.