Enum: Documentation for parameters

Description

Reference for parameters when constructing a bond

Arguments

DayCounter

an int value

`0`	Actual360
`1`	Actual360FixEd
`2`	ActualActual
`3`	ActualBusiness252
`4`	OneDayCounter
`5`	SimpleDayCounter
`6`	Thirty360
`7`	Actual365NoLeap (NB: deprecated)
`8`	ActualActual.ISMA
`9`	ActualActual.Bond
`10`	ActualActual.ISDA
`11`	ActualActual.Historical
`12`	ActualActual.AFB

businessDayConvention

an int value

`0`	Following
`1`	ModifiedFollowing
`2`	Preceding
`3`	ModifiedPreceding
`4`	Unadjusted
`5`	HalfMonthModifiedFollowing
`6`	Nearest

compounding

an int value

`0`	Simple
`1`	Compounded
`2`	Continuous

period or frequency

an int value

`-1`	NoFrequency
`0`	Once
`1`	Annual
`2`	Semiannual
`3`	EveryFourthMonth
`4`	Quarterly
`6`	BiMonthtly
`12`	Monthly
`13`	EveryFourthWeek
`26`	BiWeekly
`52`	Weekly
`365`	Daily

date generation

an int value to specify date generation rule

`0`	Backward
`1`	Forward
`2`	Zero
`3`	ThirdWednesday
`4`	Twentieth
`5`	TwentiethIMM
`6`	OldCDS
`7`	CDS

durationType

an int value to specify duration type

`0`	Simple
`1`	Macaulay

Value

None

Details

Please see any decent Finance textbook for background reading, and the QuantLib documentation for details on the QuantLib implementation, particularly the datetime classes.

References

http://quantlib.org for details on QuantLib.