Documentation for parameters

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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
anything else ActualActual.Euro
businessDayConvention

an int value

0 Following
1 ModifiedFollowing
2 Preceding
3 ModifiedPreceding
4 Unadjusted
5 HalfMonthModifiedFollowing
6 Nearest
anything else Unadjusted
compounding

an int value

0 Simple
1 Compounded
2 Continuous
3 SimpleThenCompounded
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
anything else OtherFrequency
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
anything else TwentiethIMM
durationType

an int value to specify duration type

0 Simple
1 Macaulay
2 Modified

Details

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

Value

None

Author(s)

Khanh Nguyen knguyen@cs.umb.edu

References

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

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