imm.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
 Copyright (C) 2004, 2005, 2006 Ferdinando Ametrano
 Copyright (C) 2006 Katiuscia Manzoni
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_imm_hpp
#define quantlib_imm_hpp
 
#include <ql/time/date.hpp>
 
namespace QuantLib {
 
    struct IMM {
        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 bool isIMMdate(const Date& d,
                              bool mainCycle = true);
 
        static bool isIMMcode(const std::string& in,
                              bool mainCycle = true);
 
        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);
 
 
        static Date nextDate(const std::string& immCode,
                             bool mainCycle = true,
                             const Date& referenceDate = Date());
 
 
        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());
    };
 
}
 
#endif