Reference for parameters when constructing a bond
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 |
an int value
0 |
Following |
1 |
ModifiedFollowing |
2 |
Preceding |
3 |
ModifiedPreceding |
4 |
Unadjusted |
5 |
HalfMonthModifiedFollowing |
6 |
Nearest |
an int value
0 |
Simple |
1 |
Compounded |
2 |
Continuous |
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 |
an int value to specify date generation rule
0 |
Backward |
1 |
Forward |
2 |
Zero |
3 |
ThirdWednesday |
4 |
Twentieth |
5 |
TwentiethIMM |
6 |
OldCDS |
7 |
CDS |
an int value to specify duration type
0 |
Simple |
1 |
Macaulay |
None
Please see any decent Finance textbook for background reading, and the
QuantLib
documentation for details on the QuantLib
implementation, particularly the datetime classes.
http://quantlib.org for details on QuantLib
.