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Simon Ibbotson

CDS

There's a function in QuantLib for deriving the next CME IMM date (3rd Wednesday). Is there anything similar for other exchanges?

In particular, most CDS roll on the 20th of the IMM month (except emerging markets which roll on the 20th of every month). I could write some external code, but I guessed that it would be better within QuantLib - anyone done/doing this?

Cheers,

Simon

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japari

Re: CDS

This is what I used to do (removed the code to get this done by the
user-coupons) but only applies to the CDSs and it is not the 3rd Wedn rule.
Theres a broken period from "start date" to the (badly named) "first date"

Another feature to be added is the specific day count convention for CDS that
adds an extra day to the last coupon period. Again one can do it passing the
coupon schedule that way.

Rgds
pp

Date cdsFstDate;
if( (cds_start_date.month() == Month::March) ||
(cds_start_date.month() == Month::April) ||
(cds_start_date.month() == Month::May)){
cdsFstDate = Date(20, Month::June, cds_start_date.year());
}else if( (cds_start_date.month() == Month::June) ||
(cds_start_date.month() == Month::July) ||
(cds_start_date.month() == Month::August)){
cdsFstDate = Date(20, Month::September,
cds_start_date.year());
}else if( (cds_start_date.month() == Month::September) ||
(cds_start_date.month() == Month::October) ||
(cds_start_date.month() == Month::November)){
cdsFstDate = Date(20, Month::December,
cds_start_date.year());
}else if( (cds_start_date.month() == Month::December)) {
cdsFstDate = Date(20, Month::March, cds_start_date.year()+1);
}else if( (cds_start_date.month() == Month::January) ||
(cds_start_date.month() == Month::February)){
cdsFstDate = Date(20, Month::March, cds_start_date.year());
}
cdsFstDate = cal.adjust(cdsFstDate, bdc);

Quoting Simon Ibbotson <[hidden email]>:

> There's a function in QuantLib for deriving the next CME IMM date (3rd
> Wednesday). Is there anything similar for other exchanges?
> In particular, most CDS roll on the 20th of the IMM month (except emerging
> markets which roll on the 20th of every month). I could write some external
> code, but I guessed that it would be better within QuantLib - anyone
> done/doing this?
>
> Cheers,
>
> Simon
>

Luigi Ballabio

Re: CDS

In reply to this post by Simon Ibbotson

On Thu, 2008-05-22 at 09:30 +0100, Simon Ibbotson wrote:
> There's a function in QuantLib for deriving the next CME IMM date (3rd
> Wednesday). Is there anything similar for other exchanges?
> In particular, most CDS roll on the 20th of the IMM month (except
> emerging markets which roll on the 20th of every month). I could write
> some external code, but I guessed that it would be better within
> QuantLib - anyone done/doing this?

If I'm not mistaken, I've had a contribution for generating a schedule
on IMM dates. I'll have to check it.

Luigi

--

Olmstead's Law:
After all is said and done, a hell of a lot more is said
than done.

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