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