QuantLib Day Counts and Adjacent Bond Cash Flow Dates

Summary

The discussion identifies QuantLib functions for two common fixed-income date tasks. To measure the year fraction between dates under a chosen convention, use the corresponding day-counter object, such as Actual/360, and call its year-fraction method. QuantLib’s day-counter documentation lists supported conventions.

For a bond schedule, the answer points to cash-flow utilities that return the previous and next cash-flow dates around a given date. These provide the adjacent dates the questioner needs without manually searching every schedule entry. The exchange is a brief API pointer rather than a worked example: it does not explain edge cases around settlement dates, accrued interest, or coupon-date inclusivity, so users should consult the library documentation for the precise behavior in their context.

Key ideas

• QuantLib day-counter objects compute year fractions using selected conventions.
• Actual/360 is one example of a supported day-count convention.
• Cash-flow utilities can find the previous and next cash-flow dates relative to a date.
• The short answer refers users to the library documentation for convention and method details.

Tags

# Quantlib Day Count between dates


# Quantlib Day Count between dates












Need some help on following items regarding functions in Qunatlib:

- Is there any function available to calculate time between two dates with specific day count convention. For Example, I want to know time between D1 and D2 using 30/360, Act/360, etc day count convention.

- Can we know previous and next coupon dates for bonds on particular date using schedule or some other function in Quantlib. I see schedule provides all cash flow dates but need something which gives previous and next cash flow dates.

## Answer by Luigi Ballabio (score 4)

https://quant.stackexchange.com/a/38125

- Yes. You can write, for instance, `Actual360().yearFraction(d1,d2)`. Look for the `DayCounter` class at http://quantlib.org/reference for docs and the list of the supported day-count conventions.

- You can use the `CashFlows::previousCashFlowDate` and `CashFlows::nextCashFlowDate` methods. Again, see the link above for details.

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