quantlib.time.daycounters.actual_actual

Actual/Actual day count

The day count can be calculated according to:

  • the ISDA convention, also known as “Actual/Actual (Historical)”, “Actual/Actual”, “Act/Act”, and according to ISDA also “Actual/365”, “Act/365”, and “A/365”;

  • the ISMA and US Treasury convention, also known as “Actual/Actual (Bond)”;

  • the AFB convention, also known as “Actual/Actual (Euro)”.

For more details, refer to https://www.isda.org/a/pIJEE/The-Actual-Actual-Day-Count-Fraction-1999.pdf

Classes

ActualActual(...)

Convention(value[, names, module, qualname, ...])