IMM Struct Reference
#include <ql/time/imm.hpp>
List of all members.
Detailed Description
Main cycle of the International Money Market (a.k.a. IMM) months.
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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
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static bool | isIMMcode (const std::string &in, bool mainCycle=true) |
| returns whether or not the given string is an IMM code
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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
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static Date | nextDate (const std::string &immCode, bool mainCycle=true, const Date &referenceDate=Date()) |
| next IMM date following the given IMM code
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static std::string | nextCode (const Date &d=Date(), bool mainCycle=true) |
static std::string | nextCode (const std::string &immCode, bool mainCycle=true, const Date &referenceDate=Date()) |
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, |
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const Date & |
referenceDate = Date() | |
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) |
| | [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() , |
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bool |
mainCycle = true | |
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) |
| | [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.
static Date nextDate |
( |
const std::string & |
immCode, |
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bool |
mainCycle = true , |
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const Date & |
referenceDate = Date() | |
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) |
| | [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() , |
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bool |
mainCycle = true | |
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) |
| | [static] |
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, |
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bool |
mainCycle = true , |
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const Date & |
referenceDate = Date() | |
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) |
| | [static] |
returns the IMM code for next contract listed in the International Money Market section of the Chicago Mercantile Exchange.