Date-generation rule. More...
#include <dategenerationrule.hpp>
Collaboration diagram for DateGeneration:
Public Types | |
| enum | Rule { Backward , Forward , Zero , ThirdWednesday , ThirdWednesdayInclusive , Twentieth , TwentiethIMM , OldCDS , CDS , CDS2015 } |
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.
Definition at line 39 of file dategenerationrule.hpp.
Member Enumeration Documentation
◆ Rule
| 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.) |
| ThirdWednesdayInclusive | All dates including 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. |
Definition at line 40 of file dategenerationrule.hpp.
Friends And Related Function Documentation
◆ operator<<()
|
related |
Definition at line 27 of file dategenerationrule.cpp.