Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/CDS-tp11921p11922.html
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.
-------------------------------------------------------------------------
Check out the new SourceForge.net Marketplace.
It's the best place to buy or sell services for
just about anything Open Source.
http://sourceforge.net/services/buy/index.php_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev