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

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.