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QuantLib_DateGeneration

NAME

QuantLib::DateGeneration -

Date-generation rule.

SYNOPSIS

#include <ql/time/dategenerationrule.hpp>

Public Types

enum Rule { Backward, Forward, Zero, ThirdWednesday, Twentieth, TwentiethIMM, OldCDS, CDS }

Related Functions

(Note that these are not member functions.)
std::ostream & operator<< (std::ostream &, DateGeneration::Rule)

Detailed Description

Date-generation rule.

These conventions specify the rule used to generate dates in a Schedule.

Member Enumeration Documentation

enum Rule

Enumerator:

Backward

Backward from termination date to effective date.

Forward

Forward from effective date to termination date.

Zero

No intermediate dates between effective date and termination date.

ThirdWednesday

All dates but effective date and termination date are taken to be on the third wednesday of their month (with forward calculation.)

Twentieth

All dates but the effective date are taken to be the twentieth of their month (used for CDS schedules in emerging markets.) The termination date is also modified.

TwentiethIMM

All dates but the effective date are taken to be the twentieth of an IMM month (used for CDS schedules.) The termination date is also modified.

OldCDS

Same as TwentiethIMM with unrestricted date ends and log/short stub coupon period (old CDS convention).

CDS

Credit derivatives standard rule since 'Big Bang' changes in 2009.

Friends And Related Function Documentation

std::ostream & operator<< (std::ostream &, DateGeneration::Rule) [related]

Author

Generated automatically by Doxygen for QuantLib from the source code.