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/
actual360.hpp
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/
actual360.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file actual360.hpp
\brief act/360 day counter
*/
#ifndef quantlib_actual360_day_counter_h
#define quantlib_actual360_day_counter_h
#include <ql/time/daycounter.hpp>
namespace QuantLib {
//! Actual/360 day count convention
/*! Actual/360 day count convention, also known as "Act/360", or "A/360".
\ingroup daycounters
*/
class Actual360 : public DayCounter {
private:
class Impl : public DayCounter::Impl {
private:
bool includeLastDay_;
public:
Impl(const bool includeLastDay) : includeLastDay_(includeLastDay) {}
std::string name() const { return includeLastDay_ ?
std::string("Actual/360(inc)") : std::string("Actual/360"); }
BigInteger dayCount(const Date& d1, const Date& d2) const {
return DayCounter::Impl::dayCount(d1,d2) +
(includeLastDay_ ? 1 : 0); }
Time yearFraction(const Date& d1,
const Date& d2,
const Date&,
const Date&) const {
return dayCount(d1,d2)/360.0;
}
};
public:
Actual360(const bool includeLastDay = false )
: DayCounter(boost::shared_ptr<DayCounter::Impl>(
new Actual360::Impl(includeLastDay))) {}
};
}
#endif