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Date generation

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Date generation

James Battle
Yep, it's messy date arithmetic, but it has to accomodate working forwards
AND backwards, because FRN's will go forwards and are also very common,
I agree that there might not be any others going forward.
 
You can do IMM and SFE with a simple MOD formula - no need to tabulate
them all like in some 'Top Tier, Global and Prestigious Investment Banks' -
the simple MOD math on an integer is also faster than looking up a table of
strings ... building in proper suport for IMM etc low down also means that bips
are not lost when you price a cap/floor/swaption etc etc on underlying IMM
dates. 
 
James