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
static Date	nextDate (const std::string &immCode, bool mainCycle=true, const Date &referenceDate=Date())
	next IMM date following the given IMM code
static std::string	nextCode (const Date &d=Date(), bool mainCycle=true)
	next IMM code following the given date
static std::string	nextCode (const std::string &immCode, bool mainCycle=true, const Date &referenceDate=Date())
	next IMM code following the given code

Detailed Description

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

Member Function Documentation

code()

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()

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]

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]

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]

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]

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.