Date-generation rule. More...
#include <ql/time/dategenerationrule.hpp>
Public Types | |
enum | Rule { Backward, Forward, Zero, ThirdWednesday, Twentieth, TwentiethIMM, OldCDS, CDS, CDS2015 } |
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 |
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). |
CDS | Credit derivatives standard rule since 'Big Bang' changes in 2009. |
CDS2015 | Credit derivatives standard rule since December 20th, 2015. |