DateGeneration Struct Reference
[Date and time calculations]

Date-generation rule. More...

#include <ql/time/dategenerationrule.hpp>

List of all members.

Public Types

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

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).


Friends And Related Function Documentation

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