QuantLib_IMM man page

IMM — Main cycle of the International Money Market (a.k.a. IMM) months.

Synopsis

#include <ql/time/imm.hpp>

Public Types

enum Month { F = 1, G = 2, H = 3, J = 4, K = 5, M = 6, N = 7, Q = 8, U = 9, V = 10, X = 11, Z = 12 }

Static Public Member Functions

static bool isIMMdate (const Date &d, bool mainCycle=true)
returns whether or not the given date is an IMM date
static bool isIMMcode (const std::string &in, bool mainCycle=true)
returns whether or not the given string is an IMM code
static std::string code (const Date &immDate)

static Date date (const std::string &immCode, const Date &referenceDate=Date())

static Date nextDate (const Date &d=Date(), bool mainCycle=true)
next IMM date following the given date
static Date nextDate (const std::string &immCode, bool mainCycle=true, const Date &referenceDate=Date())
next IMM date following the given IMM code
static std::string nextCode (const Date &d=Date(), bool mainCycle=true)
next IMM code following the given date
static std::string nextCode (const std::string &immCode, bool mainCycle=true, const Date &referenceDate=Date())
next IMM code following the given code

Detailed Description

Main cycle of the International Money Market (a.k.a. IMM) months.

Member Function Documentation

static std::string code (const Date & immDate) [static]

returns the IMM code for the given date (e.g. H3 for March 20th, 2013).

Warning

It raises an exception if the input date is not an IMM date

static Date date (const std::string & immCode, const Date & referenceDate = Date()) [static]

returns the IMM date for the given IMM code (e.g. March 20th, 2013 for H3).

Warning

It raises an exception if the input string is not an IMM code

static Date nextDate (const Date & d = Date(), bool mainCycle = true) [static]

next IMM date following the given date returns the 1st delivery date for next contract listed in the International Money Market section of the Chicago Mercantile Exchange.

Examples: swapvaluation.cpp.

static Date nextDate (const std::string & immCode, bool mainCycle = true, const Date & referenceDate = Date()) [static]

next IMM date following the given IMM code returns the 1st delivery date for next contract listed in the International Money Market section of the Chicago Mercantile Exchange.

static std::string nextCode (const Date & d = Date(), bool mainCycle = true) [static]

next IMM code following the given date returns the IMM code for next contract listed in the International Money Market section of the Chicago Mercantile Exchange.

static std::string nextCode (const std::string & immCode, bool mainCycle = true, const Date & referenceDate = Date()) [static]

next IMM code following the given code returns the IMM code for next contract listed in the International Money Market section of the Chicago Mercantile Exchange.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

isIMMcode(3) and isIMMdate(3) are aliases of QuantLib_IMM(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib