QuantLib 0.3.9
Getting started
Reference manual
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Date and time calculations
Detailed Description
The concrete class QuantLib::Date implements the concept of date. Its functionalities include:
- providing basic information such as weekday, day of the month, day of the year, month, and year;
- comparing two dates to determine whether they are equal, or which one is the earlier or later, or the difference between them expressed in days;
- incrementing or decrementing a date of a given number of days, or of a given period expressed in weeks, months, or years.
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Modules |
| | Calendars |
| | Day counters |
Classes |
| class | Calendar |
| | calendar class More...
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| class | Period |
| | Time period described by a number of a given time unit. More...
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| class | Date |
| | Concrete date class. More...
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| class | DayCounter |
| | day counter class More...
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Typedefs |
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typedef Integer | QuantLib::Day |
| | Day number.
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typedef Integer | QuantLib::Year |
| | Year number.
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Enumerations |
| enum | QuantLib::BusinessDayConvention {
QuantLib::Unadjusted,
QuantLib::Preceding,
QuantLib::ModifiedPreceding,
QuantLib::Following,
QuantLib::ModifiedFollowing,
QuantLib::MonthEndReference
} |
| | Business Day conventions. More...
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| enum | QuantLib::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
} |
| enum | QuantLib::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.
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| enum | QuantLib::IMMMonth { H = 3,
M = 6,
U = 9,
Z = 12
} |
| | Main cycle of the International Money Market (a.k.a. IMM) Months.
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| enum | QuantLib::Frequency {
QuantLib::NoFrequency = -1,
QuantLib::Once = 0,
QuantLib::Annual = 1,
QuantLib::Semiannual = 2,
QuantLib::EveryFourthMonth = 3,
QuantLib::Quarterly = 4,
QuantLib::Bimonthly = 6,
QuantLib::Monthly = 12
} |
| | Frequency of events. More...
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| enum | QuantLib::TimeUnit { Days,
Weeks,
Months,
Years
} |
| | Units used to describe time periods.
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Enumeration Type Documentation
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Business Day conventions.
These conventions specify the algorithm used to adjust a date in case it is not a valid business day. - Enumeration values:
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| Unadjusted |
Do not adjust. |
| Preceding |
Choose the first business day before the given holiday. |
| ModifiedPreceding |
Choose the first business day before the given holiday unless it belongs to a different month, in which case choose the first business day after the holiday. |
| Following |
Choose the first business day after the given holiday. |
| ModifiedFollowing |
Choose the first business day after the given holiday unless it belongs to a different month, in which case choose the first business day before the holiday. |
| MonthEndReference |
Choose the first business day after the given holiday, if the original date falls on last business day of month result reverts to first business day before month-end |
- Examples:
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BermudanSwaption.cpp, and swapvaluation.cpp.
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Day's serial number MOD 7; WEEKDAY Excel function is the same except for Sunday = 7. |
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Frequency of events.
- Enumeration values:
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| NoFrequency |
null frequency |
| Once |
only once, e.g., a zero-coupon |
| Annual |
once a year |
| Semiannual |
twice a year |
| EveryFourthMonth |
every fourth month |
| Quarterly |
every third month |
| Bimonthly |
every second month |
| Monthly |
once a month |
- Examples:
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BermudanSwaption.cpp, and swapvaluation.cpp.
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