CDS

Posted by Simon Ibbotson on May 22, 2008; 8:30am
URL: http://quantlib.414.s1.nabble.com/CDS-tp11921.html

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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