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allow to build ActualActual with schedule #320

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merged 1 commit into from
Feb 27, 2024
Merged

allow to build ActualActual with schedule #320

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7 changes: 4 additions & 3 deletions quantlib/time/daycounters/_actual_actual.pxd
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Original file line number Diff line number Diff line change
@@ -1,9 +1,10 @@
from quantlib.time._daycounter cimport DayCounter
from quantlib.time._schedule cimport Schedule



cdef extern from 'ql/time/daycounters/actualactual.hpp' namespace 'QuantLib':
cdef extern from 'ql/time/daycounters/actualactual.hpp' namespace 'QuantLib' nogil:
cdef cppclass ActualActual(DayCounter):
enum Convention:
pass
ActualActual(Convention)
ActualActual(Convention c)
ActualActual(Convention c, const Schedule& schedule)
6 changes: 4 additions & 2 deletions quantlib/time/daycounters/actual_actual.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -13,13 +13,15 @@ For more details, refer to
https://www.isda.org/a/pIJEE/The-Actual-Actual-Day-Count-Fraction-1999.pdf
'''

from cython.operator cimport dereference as deref
cimport quantlib.time._daycounter as _daycounter
cimport quantlib.time.daycounters._actual_actual as _aa
from quantlib.time.schedule cimport Schedule
from quantlib.time.daycounter cimport DayCounter

cdef class ActualActual(DayCounter):

def __init__(self, Convention convention=Convention.ISDA):
def __init__(self, Convention convention=Convention.ISDA, Schedule schedule=Schedule.from_dates([])):
""" Actual/Actual day count

The day count can be calculated according to:
Expand All @@ -35,7 +37,7 @@ cdef class ActualActual(DayCounter):
https://www.isda.org/a/pIJEE/The-Actual-Actual-Day-Count-Fraction-1999.pdf
"""
self._thisptr = <_daycounter.DayCounter*> new \
_aa.ActualActual(convention)
_aa.ActualActual(convention, deref(schedule._thisptr))

cdef _daycounter.DayCounter* from_name(str convention):

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