Date-generation rule. More...

Collaboration diagram for DateGeneration:

Public Types
enum	Rule { Backward , Forward , Zero , ThirdWednesday , ThirdWednesdayInclusive , Twentieth , TwentiethIMM , OldCDS , CDS , CDS2015 }

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.

Definition at line 39 of file dategenerationrule.hpp.

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.)
ThirdWednesdayInclusive	All dates including 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.
OldCDS	Same as TwentiethIMM with unrestricted date ends and log/short stub coupon period (old CDS convention).
CDS	Credit derivatives standard rule since 'Big Bang' changes in 2009.
CDS2015	Credit derivatives standard rule since December 20th, 2015.

Definition at line 40 of file dategenerationrule.hpp.