Re: [Quantlib-dev] CDS

[Luigi B. <lui...@gm...>]

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.