NAME

QuantLib::DateGeneration - Date-generation rule.

SYNOPSIS


#include <ql/time/dategenerationrule.hpp>

Public Types


enum Rule { Backward, Forward, Zero, ThirdWednesday, Twentieth, TwentiethIMM }

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.

Member Enumeration Documentation

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.

Friends And Related Function Documentation

std::ostream & operator<< (std::ostream &, DateGeneration::Rule) [related]

Author

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