QuantLib 概述

1. 日期、日历和日期调整方式

• 日期类
• 周末，月，频率，时间单位枚举
• 期限类（如：1年、30天等）
• IMM计算
• More than 30 business calendars
• NullCalendar (no holidays) for theoretical calculations
• Joint calendars made up as holiday union or intersection of base calendars.
• Rolling conventions: Preceding, ModifiedPreceding, Following, ModifiedFollowing, MonthEndReference.
• Schedule class for date stream generation.
• Day count conventions: Actual360, Actual365Fixed, ActualActual (Bond, ISDA, AFB), 30/360 (US, European, Italian), 1/1

2. 数学

• 线性插值，对数插值和样条插值