1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl 5 6 This file is part of QuantLib, a free-software/open-source library 7 for financial quantitative analysts and developers - http://quantlib.org/ 8 9 QuantLib is free software: you can redistribute it and/or modify it 10 under the terms of the QuantLib license. You should have received a 11 copy of the license along with this program; if not, please email 12 <quantlib-dev@lists.sf.net>. The license is also available online at 13 <http://quantlib.org/license.shtml>. 14 15 This program is distributed in the hope that it will be useful, but WITHOUT 16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS 17 FOR A PARTICULAR PURPOSE. See the license for more details. 18 */ 19 20 /*! \file actual360.hpp 21 \brief act/360 day counter 22 */ 23 24 #ifndef quantlib_actual360_day_counter_h 25 #define quantlib_actual360_day_counter_h 26 27 #include <ql/time/daycounter.hpp> 28 29 namespace QuantLib { 30 31 //! Actual/360 day count convention 32 33 /*! Actual/360 day count convention, also known as "Act/360", or "A/360". 34 35 \ingroup daycounters 36 */ 37 class Actual360 : public DayCounter { 38 private: 39 class Impl : public DayCounter::Impl { 40 private: 41 bool includeLastDay_; 42 public: Impl(const bool includeLastDay)43 explicit Impl(const bool includeLastDay) 44 : includeLastDay_(includeLastDay) {} name() const45 std::string name() const { 46 return includeLastDay_ ? 47 std::string("Actual/360 (inc)") 48 : std::string("Actual/360"); 49 } dayCount(const Date & d1,const Date & d2) const50 Date::serial_type dayCount(const Date& d1, 51 const Date& d2) const { 52 return (d2-d1) + (includeLastDay_ ? 1 : 0); 53 } yearFraction(const Date & d1,const Date & d2,const Date &,const Date &) const54 Time yearFraction(const Date& d1, 55 const Date& d2, 56 const Date&, 57 const Date&) const { 58 return (daysBetween(d1,d2) 59 + (includeLastDay_ ? 1.0 : 0.0))/360.0; 60 } 61 }; 62 public: Actual360(const bool includeLastDay=false)63 explicit Actual360(const bool includeLastDay = false) 64 : DayCounter(ext::shared_ptr<DayCounter::Impl>( 65 new Actual360::Impl(includeLastDay))) {} 66 }; 67 68 } 69 70 #endif 71