| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2007 Ferdinando Ametrano |
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| 5 | Copyright (C) 2008 StatPro Italia srl |
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| 6 | |
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| 7 | This file is part of QuantLib, a free-software/open-source library |
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| 8 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 9 | |
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| 10 | QuantLib is free software: you can redistribute it and/or modify it |
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| 11 | under the terms of the QuantLib license. You should have received a |
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| 12 | copy of the license along with this program; if not, please email |
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| 13 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 14 | <http://quantlib.org/license.shtml>. |
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| 15 | |
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| 16 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 17 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 18 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 19 | */ |
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| 20 | |
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| 21 | /*! \file dategenerationrule.hpp |
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| 22 | \brief date generation rule |
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| 23 | */ |
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| 24 | |
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| 25 | #ifndef quantlib_date_generation_rule_hpp |
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| 26 | #define quantlib_date_generation_rule_hpp |
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| 27 | |
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| 28 | #include <ql/qldefines.hpp> |
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| 29 | #include <iosfwd> |
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| 30 | |
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| 31 | namespace QuantLib { |
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| 32 | |
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| 33 | //! Date-generation rule |
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| 34 | /*! These conventions specify the rule used to generate dates in a |
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| 35 | Schedule. |
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| 36 | |
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| 37 | \ingroup datetime |
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| 38 | */ |
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| 39 | struct DateGeneration { |
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| 40 | enum Rule { |
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| 41 | Backward, /*!< Backward from termination date to |
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| 42 | effective date. */ |
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| 43 | Forward, /*!< Forward from effective date to |
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| 44 | termination date. */ |
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| 45 | Zero, /*!< No intermediate dates between effective date |
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| 46 | and termination date. */ |
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| 47 | ThirdWednesday, /*!< All dates but effective date and termination |
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| 48 | date are taken to be on the third wednesday |
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| 49 | of their month (with forward calculation.) */ |
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| 50 | ThirdWednesdayInclusive, /*!< All dates including effective date and termination |
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| 51 | date are taken to be on the third wednesday |
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| 52 | of their month (with forward calculation.) */ |
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| 53 | Twentieth, /*!< All dates but the effective date are |
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| 54 | taken to be the twentieth of their |
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| 55 | month (used for CDS schedules in |
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| 56 | emerging markets.) The termination |
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| 57 | date is also modified. */ |
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| 58 | TwentiethIMM, /*!< All dates but the effective date are |
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| 59 | taken to be the twentieth of an IMM |
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| 60 | month (used for CDS schedules.) The |
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| 61 | termination date is also modified. */ |
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| 62 | OldCDS, /*!< Same as TwentiethIMM with unrestricted date |
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| 63 | ends and log/short stub coupon period (old |
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| 64 | CDS convention). */ |
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| 65 | CDS, /*!< Credit derivatives standard rule since 'Big |
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| 66 | Bang' changes in 2009. */ |
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| 67 | CDS2015, /*!< Credit derivatives standard rule since |
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| 68 | December 20th, 2015. */ |
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| 69 | }; |
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| 70 | }; |
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| 71 | |
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| 72 | /*! \relates DateGeneration */ |
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| 73 | std::ostream& operator<<(std::ostream&, |
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| 74 | DateGeneration::Rule); |
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| 75 | |
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| 76 | } |
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| 77 | |
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| 78 | #endif |
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| 79 | |
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