Module quantmath::dates::calendar [−][src]
Structs
| EveryDayCalendar |
An every-day calendar assumes that all days are business days, including weekends. |
| VolatilityCalendar |
A volatility calendar can have a non-zero weight for weekends. 25% is common. This affects the basis and the business day count. It also affects the step size. For example, a forward volatility model has its dates rolled forward by a consistent number of business days from the corresponding spot model, and this is achieved by calling the step function. We may end up trying to roll by non-integer numbers of days. In that case, we round to the nearest integer. |
| WeekdayAndHolidayCalendar |
A calendar that assumes that Saturday and Sunday are not business days, together with a specified list of business holidays. In general this list is read from a file. |
| WeekdayCalendar |
A weekday calendar assumes that Monday to Friday are business days, and Saturday and Sunday are not. |
Traits
| Calendar |
Calendars define when business holidays are scheduled. They are used for business day volatility, settlement calculations, and the roll-out of schedules for exotic products and swaps. |
Functions
| get_registry |
Return the type registry required for deserialization. |
Type Definitions
| RcCalendar | |
| TypeRegistry |