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