Enum: Documentation for parameters

Description Arguments Details Value Author(s) References

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 [email protected]

References

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


RQuantLib documentation built on May 29, 2017, 8:45 p.m.