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
Locked
