public Libor(Currency currency, Duration tenor, CouponSchedule schedule, DayCountFrac basis) { Currency = currency; Tenor = tenor; Schedule = schedule; Basis = basis; Date = schedule.Fixing; }
public static object DayCount(object start, object end, [ExcelArgument("Convention used for counting time : Act/365, Act/360...")] string convention) { var startDate = DateAndDurationConverter.ConvertDate(start); var endDate = DateAndDurationConverter.ConvertDate(end); var dayCount = DayCountFrac.Parse(convention); return(dayCount.Count(startDate, endDate)); }