Arguments
DayCounter
an int value
ll{
0 Actual360
1 Actual360FixEd
2 ActualActual
3 ActualBusiness252
4 OneDayCounter
5 SimpleDayCounter
6
businessDayConvention
an int value
ll{
0 Following
1 ModifiedFollowing
2 Preceding
3 ModifiedPreceding
anything else UNadjusted
}
compounding
an int value
ll{
0 Simple
1 Compounded
2 Continuous
3 SimpleThenCompounded
}
period or frequency
an int value
ll{
-1 NoFrequency
0 Once
1 Annual
2 Semiannual
3 EveryFourthMonth
4 Quarterly
6 BiMonthtly
12
date generation
an int value to specify date generation rule
ll{
0 Backward
1 Forward
2 Zero
3 ThirdWednesday
4 Twentieth
anything else TwentiethIMM
durationType
an int value to specify duration type
ll{
0 Simple
1 Macaulay
2 Modified
}