QuantLib_IMM (3) - Linux Man Pages

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

NAME

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

SYNOPSIS


#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)

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

Detailed Description

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

Member Function Documentation

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

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

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.

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.

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

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

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

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

Author

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