QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Types | Static Public Member Functions | List of all members
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 More...
 
static Date nextDate (const std::string &immCode, bool mainCycle=true, const Date &referenceDate=Date())
 next IMM date following the given IMM code More...
 
static std::string nextCode (const Date &d=Date(), bool mainCycle=true)
 next IMM code following the given date More...
 
static std::string nextCode (const std::string &immCode, bool mainCycle=true, const Date &referenceDate=Date())
 next IMM code following the given code More...
 

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.

Examples:
swapvaluation.cpp.
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

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.

static 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.