QuantLib: IMM Struct Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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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.