1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>DateGeneration Struct Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="185" height="50" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 1.2</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="struct_quant_lib_1_1_date_generation.html">DateGeneration</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-types">Public Types</a> |
<a href="#related">Related Functions</a> </div>
<div class="headertitle">
<div class="title">DateGeneration Struct Reference<div class="ingroups"><a class="el" href="group__datetime.html">Date and time calculations</a></div></div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::DateGeneration" -->
<p>Date-generation rule.
<a href="struct_quant_lib_1_1_date_generation.html#details">More...</a></p>
<p><code>#include <ql/time/dategenerationrule.hpp></code></p>
<p><a href="struct_quant_lib_1_1_date_generation-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">enum  </td><td class="memItemRight" valign="bottom"><a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78">Rule</a> { <br/>
  <a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78a67e19347f85332c3bbfd61266cecbe4e">Backward</a>,
<a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78ae204c9c3e62b1e9a6b60e40cd05256c5">Forward</a>,
<a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78ab9f6920de535f04ccfe34d670fa2c8a8">Zero</a>,
<a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78ac8d8da6652fd8ffa5e27e779518e414e">ThirdWednesday</a>,
<br/>
  <a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78a21087b4bddcc38096b2349354748c175">Twentieth</a>,
<a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78ad694d6ae582abfc8e99ea7e6e6c3f8d5">TwentiethIMM</a>,
<a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78a634c5fa704fceaa797cf0c089af2b6c9">OldCDS</a>,
<a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78ac78cb76ca18746c78d962eb46eabb008">CDS</a>
<br/>
}</td></tr>
<tr><td colspan="2"><h2><a name="related"></a>
Related Functions</h2></td></tr>
<tr><td class="ititle" colspan="2"><p>(Note that these are not member functions.) </p>
</td></tr>
<tr><td class="memItemLeft" align="right" valign="top">std::ostream & </td><td class="memItemRight" valign="bottom"><a class="el" href="struct_quant_lib_1_1_date_generation.html#a37ee623eedc42fca85cd00bb7f9b78ae">operator<<</a> (std::ostream &, <a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78">DateGeneration::Rule</a>)</td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Date-generation rule. </p>
<p>These conventions specify the rule used to generate dates in a <a class="el" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a>. </p>
</div><hr/><h2>Member Enumeration Documentation</h2>
<a class="anchor" id="a11fcd51ef86118f65e603c1474377a78"></a><!-- doxytag: member="QuantLib::DateGeneration::Rule" ref="a11fcd51ef86118f65e603c1474377a78" args="" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">enum <a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78">Rule</a></td>
</tr>
</table>
</div>
<div class="memdoc">
<dl><dt><b>Enumerator: </b></dt><dd><table border="0" cellspacing="2" cellpadding="0">
<tr><td valign="top"><em><a class="anchor" id="a11fcd51ef86118f65e603c1474377a78a67e19347f85332c3bbfd61266cecbe4e"></a><!-- doxytag: member="Backward" ref="a11fcd51ef86118f65e603c1474377a78a67e19347f85332c3bbfd61266cecbe4e" args="" -->Backward</em> </td><td>
<p>Backward from termination date to effective date. </p>
</td></tr>
<tr><td valign="top"><em><a class="anchor" id="a11fcd51ef86118f65e603c1474377a78ae204c9c3e62b1e9a6b60e40cd05256c5"></a><!-- doxytag: member="Forward" ref="a11fcd51ef86118f65e603c1474377a78ae204c9c3e62b1e9a6b60e40cd05256c5" args="" -->Forward</em> </td><td>
<p><a class="el" href="class_quant_lib_1_1_forward.html" title="Abstract base forward class.">Forward</a> from effective date to termination date. </p>
</td></tr>
<tr><td valign="top"><em><a class="anchor" id="a11fcd51ef86118f65e603c1474377a78ab9f6920de535f04ccfe34d670fa2c8a8"></a><!-- doxytag: member="Zero" ref="a11fcd51ef86118f65e603c1474377a78ab9f6920de535f04ccfe34d670fa2c8a8" args="" -->Zero</em> </td><td>
<p>No intermediate dates between effective date and termination date. </p>
</td></tr>
<tr><td valign="top"><em><a class="anchor" id="a11fcd51ef86118f65e603c1474377a78ac8d8da6652fd8ffa5e27e779518e414e"></a><!-- doxytag: member="ThirdWednesday" ref="a11fcd51ef86118f65e603c1474377a78ac8d8da6652fd8ffa5e27e779518e414e" args="" -->ThirdWednesday</em> </td><td>
<p>All dates but effective date and termination date are taken to be on the third wednesday of their month (with forward calculation.) </p>
</td></tr>
<tr><td valign="top"><em><a class="anchor" id="a11fcd51ef86118f65e603c1474377a78a21087b4bddcc38096b2349354748c175"></a><!-- doxytag: member="Twentieth" ref="a11fcd51ef86118f65e603c1474377a78a21087b4bddcc38096b2349354748c175" args="" -->Twentieth</em> </td><td>
<p>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. </p>
</td></tr>
<tr><td valign="top"><em><a class="anchor" id="a11fcd51ef86118f65e603c1474377a78ad694d6ae582abfc8e99ea7e6e6c3f8d5"></a><!-- doxytag: member="TwentiethIMM" ref="a11fcd51ef86118f65e603c1474377a78ad694d6ae582abfc8e99ea7e6e6c3f8d5" args="" -->TwentiethIMM</em> </td><td>
<p>All dates but the effective date are taken to be the twentieth of an <a class="el" href="struct_quant_lib_1_1_i_m_m.html" title="Main cycle of the International Money Market (a.k.a. IMM) months.">IMM</a> month (used for CDS schedules.) The termination date is also modified. </p>
</td></tr>
<tr><td valign="top"><em><a class="anchor" id="a11fcd51ef86118f65e603c1474377a78a634c5fa704fceaa797cf0c089af2b6c9"></a><!-- doxytag: member="OldCDS" ref="a11fcd51ef86118f65e603c1474377a78a634c5fa704fceaa797cf0c089af2b6c9" args="" -->OldCDS</em> </td><td>
<p>Same as TwentiethIMM with unrestricted date ends and log/short stub coupon period (old CDS convention). </p>
</td></tr>
<tr><td valign="top"><em><a class="anchor" id="a11fcd51ef86118f65e603c1474377a78ac78cb76ca18746c78d962eb46eabb008"></a><!-- doxytag: member="CDS" ref="a11fcd51ef86118f65e603c1474377a78ac78cb76ca18746c78d962eb46eabb008" args="" -->CDS</em> </td><td>
<p>Credit derivatives standard rule since 'Big Bang' changes in 2009. </p>
</td></tr>
</table>
</dd>
</dl>
</div>
</div>
<hr/><h2>Friends And Related Function Documentation</h2>
<a class="anchor" id="a37ee623eedc42fca85cd00bb7f9b78ae"></a><!-- doxytag: member="QuantLib::DateGeneration::operator<<" ref="a37ee623eedc42fca85cd00bb7f9b78ae" args="(std::ostream &, DateGeneration::Rule)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">std::ostream & operator<< </td>
<td>(</td>
<td class="paramtype">std::ostream & </td>
<td class="paramname">, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78">DateGeneration::Rule</a> </td>
<td class="paramname"> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td><code> [related]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
</div>
</div>
</div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
