QuantLib 0.3.7
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 |
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
} |
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
} |
| Month names.
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enum | QuantLib::Frequency {
QuantLib::Once = 0,
QuantLib::Annual = 1,
QuantLib::Semiannual = 2,
QuantLib::Quarterly = 4,
QuantLib::Bimonthly = 6,
QuantLib::Monthly = 12
} |
| Frequency of events. More...
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enum | QuantLib::TimeUnit { Days = 0,
Weeks = 1,
Months = 2,
Years = 3
} |
| 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 |
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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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Once |
only once, e.g., a zero-coupon |
Annual |
once a year |
Semiannual |
twice a year |
Quarterly |
every third month |
Bimonthly |
every second month |
Monthly |
once a month |
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