QuantLib 0.3.12

http://quantlib.org

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Getting started

• Introduction
• Project overview
• Where to get QuantLib
• Installation
• Configuration
• Usage
• Frequently asked questions
• Version history
• Additional resources
• The QuantLib group
• Copyright and license

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Reference manual

• Modules
• Class Hierarchy
• Compound List
• File List
• Compound Members
• File Members
• Todo List
• Known Bugs
• Caveats
• Test Suite
• Deprecated Features
• Examples

Date and time calculations

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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.

Modules
	Calendars
	Day counters
Classes
class	Calendar
	calendar class More...
class	Period
	Time period described by a number of a given time unit. More...
class	Date
	Concrete date class. More...
class	DayCounter
	day counter class More...
Typedefs
typedef Integer	QuantLib::Day
	Day number.
typedef Integer	QuantLib::Year
	Year number.
Enumerations
enum	QuantLib::BusinessDayConvention {   QuantLib::Unadjusted, QuantLib::Preceding, QuantLib::ModifiedPreceding, QuantLib::Following,   QuantLib::ModifiedFollowing, QuantLib::MonthEndReference }
	Business Day conventions. More...
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.
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...
enum	QuantLib::TimeUnit { Days, Weeks, Months, Years }
	Units used to describe time periods.

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Enumeration Type Documentation

enum BusinessDayConvention

Business Day conventions. These conventions specify the algorithm used to adjust a date in case it is not a valid business day. Enumerator: 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: BermudanSwaption.cpp, ConvertibleBonds.cpp, and swapvaluation.cpp.

enum Weekday

Day's serial number MOD 7; WEEKDAY Excel function is the same except for Sunday = 7.

enum Frequency

Frequency of events. Enumerator: 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: BermudanSwaption.cpp, ConvertibleBonds.cpp, and swapvaluation.cpp.

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