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 |
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 |
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 |
durationType
an int value to specify duration type
Details
Please see any decent Finance textbook for background reading, and the
QuantLib documentation for details on the QuantLib
implementation, particularly the datetime classes.