IMM Struct Reference

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

#include <ql/time/imm.hpp>

Collaboration diagram for IMM:

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 More...
static bool	isIMMcode (const std::string &in, bool mainCycle=true)
	returns whether or not the given string is an IMM code More...
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.

Definition at line 35 of file imm.hpp.

Member Enumeration Documentation

Month

enum Month

Enumerator
F
G
H
J
K
M
N
Q
U
V
X
Z

Definition at line 36 of file imm.hpp.

Member Function Documentation

isIMMdate()

bool isIMMdate ( const Date &  d, bool  mainCycle = true  )

static

returns whether or not the given date is an IMM date

Definition at line 34 of file imm.cpp.

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isIMMcode()

bool isIMMcode ( const std::string &  in, bool  mainCycle = true  )

static

returns whether or not the given string is an IMM code

Definition at line 55 of file imm.cpp.

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code()

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

Definition at line 70 of file imm.cpp.

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date()

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

Definition at line 125 of file imm.cpp.

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nextDate() [1/2]

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.

Definition at line 164 of file imm.cpp.

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nextDate() [2/2]

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.

Definition at line 189 of file imm.cpp.

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nextCode() [1/2]

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.

Definition at line 196 of file imm.cpp.

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nextCode() [2/2]

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.

Definition at line 202 of file imm.cpp.

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