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Class ActualActual

Actual/Actual day count

The day count can be calculated according to:

  • the ISDA convention, also known as "Actual/Actual (Historical)", "Actual/Actual", "Act/Act", and according to ISDA also "Actual/365", "Act/365", and "A/365";

  • the ISMA and US Treasury convention, also known as "Actual/Actual (Bond)";

  • the AFB convention, also known as "Actual/Actual (Euro)".

    For more details, refer to http://www.isda.org/publications/pdf/Day-Count-Fracation1999.pdf

test the correctness of the results is checked against known good values.

Hierarchy

Index

Enumerations

Classes

Constructors

Properties

Accessors

Methods

Constructors

constructor

  • Parameters

    • Default value c: Convention = ActualActual.Convention.ISDA
    • Default value schedule: Schedule = new Schedule()

    Returns ActualActual

Properties

Protected _impl

_impl: Impl

Accessors

isDisposed

  • get isDisposed(): boolean

Methods

dayCount

  • dayCount(d1: Date, d2: Date): number

  • Parameters

    • d1: Date
    • d2: Date

    Returns number

dispose

  • dispose(): void

empty

  • empty(): boolean

  • Returns boolean

name

  • name(): string

  • Returns string

yearFraction

  • yearFraction(d1: Date, d2: Date, refPeriodStart?: Date, refPeriodEnd?: Date): Time

  • Parameters

    • d1: Date
    • d2: Date
    • Default value refPeriodStart: Date = null
    • Default value refPeriodEnd: Date = null

    Returns Time

Static equal

Static implementation