Enum DateGenerationRule

Namespace

NanoQL.Time

Assembly

NanoQL.dll

Date-generation rules: the rule used to generate dates in a Schedule.

public enum DateGenerationRule

Fields

Backward = 0

Backward from termination date to effective date.

CDS = 8

Credit derivatives standard rule since the 'Big Bang' changes in 2009.

CDS2015 = 9

Credit derivatives standard rule since December 20th, 2015.

Forward = 1

Forward from effective date to termination date.

OldCDS = 7

Same as TwentiethIMM with unrestricted date ends and long/short stub coupon period (old CDS convention).

ThirdWednesday = 3

All dates but effective date and termination date are taken to be on the third Wednesday of their month (with forward calculation).

ThirdWednesdayInclusive = 4

All dates including effective date and termination date are taken to be on the third Wednesday of their month (with forward calculation).

Twentieth = 5

All dates but the effective date are taken to be the twentieth of their month (used for CDS schedules in emerging markets). The termination date is also modified.

TwentiethIMM = 6

All dates but the effective date are taken to be the twentieth of an IMM month (used for CDS schedules). The termination date is also modified.

Zero = 2

No intermediate dates between effective date and termination date.