- QuantLib
- DateGeneration
Date-generation rule. More...
#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) |
Date-generation rule.
These conventions specify the rule used to generate dates in a Schedule.
| enum Rule |
| 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. |
| std::ostream & operator<< | ( | std::ostream & | , |
| DateGeneration::Rule | |||
| ) | [related] |