DateGeneration Struct Reference
[Date and time calculations]
Date-generation rule.
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#include <ql/time/dategenerationrule.hpp>
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:
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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] |