IMM Struct Reference

Main cycle of the International Money Market (a.k.a. IMM) months. More...

#include <ql/time/imm.hpp>

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
static bool	isIMMcode (const std::string &in, bool mainCycle=true)
	returns whether or not the given string is an IMM code
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 More...
static Date	nextDate (const std::string &immCode, bool mainCycle=true, const Date &referenceDate=Date())
	next IMM date following the given IMM code More...
static std::string	nextCode (const Date &d=Date(), bool mainCycle=true)
	next IMM code following the given date More...
static std::string	nextCode (const std::string &immCode, bool mainCycle=true, const Date &referenceDate=Date())
	next IMM code following the given code More...

Detailed Description

Main cycle of the International Money Market (a.k.a. IMM) months.

Member Function Documentation

code()

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

date()

static Date date ( const std::string &  immCode, const Date &  referenceDate = Date()  )

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

nextDate() [1/2]

static Date nextDate ( const Date &  d = Date(), bool  mainCycle = true  )

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.

nextDate() [2/2]

static Date nextDate ( const std::string &  immCode, bool  mainCycle = true, const Date &  referenceDate = Date()  )

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.

nextCode() [1/2]

static std::string nextCode ( const Date &  d = Date(), bool  mainCycle = true  )

static

next IMM code following the given date

returns the IMM code for next contract listed in the International Money Market section of the Chicago Mercantile Exchange.

nextCode() [2/2]

static std::string nextCode ( const std::string &  immCode, bool  mainCycle = true, const Date &  referenceDate = Date()  )

static

next IMM code following the given code

returns the IMM code for next contract listed in the International Money Market section of the Chicago Mercantile Exchange.