Date

Overview

Date- and Period-related QuantLib functions.

Function List

qlASXIsASXcode ()
qlASXIsASXdate ()
qlASXNextCode ()
qlASXNextCodes ()
qlASXNextDate ()
qlASXNextDates ()
qlASXcode ()
qlASXdate ()
qlDateEndOfMonth ()
qlDateIsEndOfMonth ()
qlDateIsLeap ()
qlDateMaxDate ()
qlDateMinDate ()
qlDateNextWeekday ()
qlDateNthWeekday ()
qlECBAddDate ()
qlECBIsECBcode ()
qlECBIsECBdate ()
qlECBKnownDates ()
qlECBNextCode ()
qlECBNextCode2 ()
qlECBNextDate ()
qlECBNextDate2 ()
qlECBNextDates ()
qlECBRemoveDate ()
qlECBcode ()
qlECBdate ()
qlECBdate2 ()
qlFrequencyFromPeriod ()
qlIMMIsIMMcode ()
qlIMMIsIMMdate ()
qlIMMNextCode ()
qlIMMNextCodes ()
qlIMMNextDate ()
qlIMMNextDates ()
qlIMMcode ()
qlIMMdate ()
qlPeriodEquivalent ()
qlPeriodFromFrequency ()
qlPeriodLessThan ()

Function Documentation

qlASXIsASXcode

vector<bool> returnValue
 
qlASXIsASXcode(
        vector<string> Code
        bool MainCycle
        any Trigger)

Description:

returns whether or not the given code is an ASX code.

Supported Platforms:

Excel

Parameters

Code	2 letter string (e.g. M5).
MainCycle	FALSE to consider all futures (serial ones included), not just the main March/June/September/December (H, M, U, Z) cycle. Default value = true.
Trigger	dependency tracking trigger

qlASXIsASXdate

vector<bool> returnValue
 
qlASXIsASXdate(
        vector<long> Date
        bool MainCycle
        any Trigger)

Description:

returns whether or not the given date is an ASX date.

Supported Platforms:

Excel

Parameters

Date	date.
MainCycle	TRUE to consider the main March/June/September/December (H, M, U, Z) cycle only. Default value = true.
Trigger	dependency tracking trigger

qlASXNextCode

string returnValue
 
qlASXNextCode(
        long RefDate
        bool MainCycle
        any Trigger)

Description:

returns the code for the first contract listed in the Australian Securities Exchange.

Supported Platforms:

Excel

Parameters

RefDate	date with respect to which the calculations are performed. Default value = QuantLib::Date().
MainCycle	TRUE to consider the main March/June/September/December (H, M, U, Z) cycle only. Default value = true.
Trigger	dependency tracking trigger

qlASXNextCodes

vector<string> returnValue
 
qlASXNextCodes(
        long RefDate
        vector<bool> MainCycle
        any Trigger)

Description:

returns the codes for the next contracts listed in the Australian Securities Exchange.

Supported Platforms:

Excel

Parameters

RefDate	date with respect to which the calculations are performed. Default value = QuantLib::Date().
MainCycle	TRUE to consider the main March/June/September/December (H, M, U, Z) cycle only. Default value = std::vector<bool>(40, true).
Trigger	dependency tracking trigger

qlASXNextDate

long returnValue
 
qlASXNextDate(
        long RefDate
        bool MainCycle
        any Trigger)

Description:

returns the delivery date for the first contract listed in the Australian Securities Exchange.

Supported Platforms:

Excel

Parameters

RefDate	date with respect to which the calculations are performed. Default value = QuantLib::Date().
MainCycle	TRUE to consider the main March/June/September/December (H, M, U, Z) cycle only. Default value = true.
Trigger	dependency tracking trigger

qlASXNextDates

vector<long> returnValue
 
qlASXNextDates(
        long RefDate
        vector<bool> MainCycle
        any Trigger)

Description:

returns the delivery dates for the next contracts listed in the Australian Securities Exchange.

Supported Platforms:

Excel

Parameters

RefDate	date with respect to which the calculations are performed. Default value = QuantLib::Date().
MainCycle	TRUE to consider the main March/June/September/December (H, M, U, Z) cycle only. Default value = std::vector<bool>(40, true).
Trigger	dependency tracking trigger

qlASXcode

vector<string> returnValue
 
qlASXcode(
        vector<long> ASXdate
        any Trigger)

Description:

returns the code corresponding to a given ASX date (e.g. H5 for Friday, March 13th, 2015). It fails if the input date is not an ASX date.

Supported Platforms:

Excel

Parameters

ASXdate	ASX date.
Trigger	dependency tracking trigger

qlASXdate

vector<long> returnValue
 
qlASXdate(
        vector<string> ASXcode
        long RefDate
        any Trigger)

Description:

returns the ASX date corresponding to the given ASX code (e.g. Friday, March 13th, 2015 for H5)).

Supported Platforms:

Excel

Parameters

ASXcode	2 letter ASX code (e.g. M5).
RefDate	date with respect to which the calculations are performed. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlDateEndOfMonth

vector<long> returnValue
 
qlDateEndOfMonth(
        vector<long> Date
        any Trigger)

Description:

returns the last day of the month to which the given date belongs.

Supported Platforms:

Excel

Parameters

Date	date.
Trigger	dependency tracking trigger

qlDateIsEndOfMonth

vector<bool> returnValue
 
qlDateIsEndOfMonth(
        vector<long> Date
        any Trigger)

Description:

returns TRUE if a date is the last day of its month.

Supported Platforms:

Excel

Parameters

Date	date.
Trigger	dependency tracking trigger

qlDateIsLeap

vector<bool> returnValue
 
qlDateIsLeap(
        vector<long> Year
        any Trigger)

Description:

returns TRUE if a year is leap.

Supported Platforms:

Excel

Parameters

Year	year (e.g. 2006).
Trigger	dependency tracking trigger

qlDateMaxDate

long returnValue
 
qlDateMaxDate(
        any Trigger)

Description:

returns the latest date allowed in QuantLib.

Supported Platforms:

Excel

Parameters

Trigger

dependency tracking trigger

qlDateMinDate

long returnValue
 
qlDateMinDate(
        any Trigger)

Description:

returns the earliest date allowed in QuantLib.

Supported Platforms:

Excel

Parameters

Trigger

dependency tracking trigger

qlDateNextWeekday

vector<long> returnValue
 
qlDateNextWeekday(
        vector<long> Date
        string Weekday
        any Trigger)

Description:

Returns the next given weekday following or equal to the given date (e.g., the Friday following Tuesday, January 15th, 2002 was January 18th, 2002).

Supported Platforms:

Excel

Parameters

Date	date.
Weekday	Weekday (e.g. Wednesday, or Wed).
Trigger	dependency tracking trigger

qlDateNthWeekday

long returnValue
 
qlDateNthWeekday(
        long Nth
        string Weekday
        string Month
        long Year
        any Trigger)

Description:

Returns the n-th given weekday in the given month and year (e.g., the 4th Thursday of March, 1998 was March 26th, 1998).

Supported Platforms:

Excel

Parameters

Nth	ordinal number (greater than zero, less than 6).
Weekday	Weekday (e.g. Wednesday, or Wed).
Month	Month (e.g. January, or Jan, or '1').
Year	year (e.g. 2007).
Trigger	dependency tracking trigger

qlECBAddDate

void returnValue
 
qlECBAddDate(
        long Date
        any Trigger)

Description:

add an ECB date to the list of known ECB dates.

Supported Platforms:

Excel

Parameters

Date	to be added to the list of known ECB dates.
Trigger	dependency tracking trigger

qlECBIsECBcode

vector<bool> returnValue
 
qlECBIsECBcode(
        vector<string> Code
        any Trigger)

Description:

returns whether or not the given code is an ECB code.

Supported Platforms:

Excel

Parameters

Code	5 letter ECB code (e.g. MAR10).
Trigger	dependency tracking trigger

qlECBIsECBdate

vector<bool> returnValue
 
qlECBIsECBdate(
        vector<long> Date
        any Trigger)

Description:

returns whether or not the given date is an ECB maintenance period start date.

Supported Platforms:

Excel

Parameters

Date	date.
Trigger	dependency tracking trigger

qlECBKnownDates

vector<long> returnValue
 
qlECBKnownDates(
        any Trigger)

Description:

returns all the known ECB maintenance period start dates.

Supported Platforms:

Excel

Parameters

Trigger

dependency tracking trigger

qlECBNextCode

string returnValue
 
qlECBNextCode(
        long RefDate
        any Trigger)

Description:

returns the code for the first ECB date.

Supported Platforms:

Excel

Parameters

RefDate	date with respect to which the calculations are performed. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlECBNextCode2

string returnValue
 
qlECBNextCode2(
        string Code
        any Trigger)

Description:

returns the code for the next ECB date.

Supported Platforms:

Excel

Parameters

Code	5 letter ECB code (e.g. MAR10).
Trigger	dependency tracking trigger

qlECBNextDate

long returnValue
 
qlECBNextDate(
        long Date
        any Trigger)

Description:

returns the next ECB maintenance period start date following the given date.

Supported Platforms:

Excel

Parameters

Date	date with respect to which the calculations are performed. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlECBNextDate2

long returnValue
 
qlECBNextDate2(
        string Code
        any Trigger)

Description:

returns the next ECB maintenance period start date following the given date.

Supported Platforms:

Excel

Parameters

Code	5 letter ECB code (e.g. MAR10).
Trigger	dependency tracking trigger

qlECBNextDates

vector<long> returnValue
 
qlECBNextDates(
        long Date
        any Trigger)

Description:

returns all the known ECB maintenance period start dates following the given date.

Supported Platforms:

Excel

Parameters

Date	date with respect to which the calculations are performed. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlECBRemoveDate

void returnValue
 
qlECBRemoveDate(
        long Date
        any Trigger)

Description:

remove an ECB date from the list of known ECB dates.

Supported Platforms:

Excel

Parameters

Date	to be removed from the list of known ECB dates.
Trigger	dependency tracking trigger

qlECBcode

string returnValue
 
qlECBcode(
        long ECBdate
        any Trigger)

Description:

returns the code corresponding to a given ECB date (e.g. MAR10 for Wednesday, March xxth, 2010). It fails if the input date is not an ECB date.

Supported Platforms:

Excel

Parameters

ECBdate	ECB date.
Trigger	dependency tracking trigger

qlECBdate

long returnValue
 
qlECBdate(
        string ECBcode
        long RefDate
        any Trigger)

Description:

returns the ECB maintenance period start date for the given ECB code.

Supported Platforms:

Excel

Parameters

ECBcode	5 letter ECB code (e.g. MAR10).
RefDate	date with respect to which the calculations are performed. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlECBdate2

long returnValue
 
qlECBdate2(
        string Month
        long Year
        any Trigger)

Description:

returns the ECB maintenance period start date in the given month/year.

Supported Platforms:

Excel

Parameters

Month	month (e.g. January, or Jan, or '1').
Year	year (e.g. 2010).
Trigger	dependency tracking trigger

qlFrequencyFromPeriod

vector<string> returnValue
 
qlFrequencyFromPeriod(
        vector<string> Period
        any Trigger)

Description:

returns a Frequency from a given Period (e.g. SemiAnnual from 6M).

Supported Platforms:

Excel

Parameters

Period	period(s) to advance (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year).
Trigger	dependency tracking trigger

qlIMMIsIMMcode

vector<bool> returnValue
 
qlIMMIsIMMcode(
        vector<string> Code
        bool MainCycle
        any Trigger)

Description:

returns whether or not the given code is an IMM code.

Supported Platforms:

Excel

Parameters

Code	2 letter string (e.g. H6).
MainCycle	FALSE to consider all futures (serial ones included), not just the main March/June/September/December (H, M, U, Z) cycle. Default value = true.
Trigger	dependency tracking trigger

qlIMMIsIMMdate

vector<bool> returnValue
 
qlIMMIsIMMdate(
        vector<long> Date
        bool MainCycle
        any Trigger)

Description:

returns whether or not the given date is an IMM date.

Supported Platforms:

Excel

Parameters

Date	date.
MainCycle	TRUE to consider the main March/June/September/December (H, M, U, Z) cycle only. Default value = true.
Trigger	dependency tracking trigger

qlIMMNextCode

string returnValue
 
qlIMMNextCode(
        long RefDate
        bool MainCycle
        any Trigger)

Description:

returns the code for the first contract listed in the International Money Market section of the Chicago Mercantile Exchange.

Supported Platforms:

Excel

Parameters

RefDate	date with respect to which the calculations are performed. Default value = QuantLib::Date().
MainCycle	TRUE to consider the main March/June/September/December (H, M, U, Z) cycle only. Default value = true.
Trigger	dependency tracking trigger

qlIMMNextCodes

vector<string> returnValue
 
qlIMMNextCodes(
        long RefDate
        vector<bool> MainCycle
        any Trigger)

Description:

returns the codes for the next contracts listed in the International Money Market section of the Chicago Mercantile Exchange.

Supported Platforms:

Excel

Parameters

RefDate	date with respect to which the calculations are performed. Default value = QuantLib::Date().
MainCycle	TRUE to consider the main March/June/September/December (H, M, U, Z) cycle only. Default value = std::vector<bool>(40, true).
Trigger	dependency tracking trigger

qlIMMNextDate

long returnValue
 
qlIMMNextDate(
        long RefDate
        bool MainCycle
        any Trigger)

Description:

returns the delivery date for the first contract listed in the International Money Market section of the Chicago Mercantile Exchange.

Supported Platforms:

Excel

Parameters

RefDate	date with respect to which the calculations are performed. Default value = QuantLib::Date().
MainCycle	TRUE to consider the main March/June/September/December (H, M, U, Z) cycle only. Default value = true.
Trigger	dependency tracking trigger

qlIMMNextDates

vector<long> returnValue
 
qlIMMNextDates(
        long RefDate
        vector<bool> MainCycle
        any Trigger)

Description:

returns the delivery dates for the next contracts listed in the International Money Market section of the Chicago Mercantile Exchange.

Supported Platforms:

Excel

Parameters

RefDate	date with respect to which the calculations are performed. Default value = QuantLib::Date().
MainCycle	TRUE to consider the main March/June/September/December (H, M, U, Z) cycle only. Default value = std::vector<bool>(40, true).
Trigger	dependency tracking trigger

qlIMMcode

vector<string> returnValue
 
qlIMMcode(
        vector<long> IMMdate
        any Trigger)

Description:

returns the code corresponding to a given IMM date (e.g. H5 for Wednesday, March 18th, 2015). It fails if the input date is not an IMM date.

Supported Platforms:

Excel

Parameters

IMMdate	IMM date.
Trigger	dependency tracking trigger

qlIMMdate

vector<long> returnValue
 
qlIMMdate(
        vector<string> IMMcode
        long RefDate
        any Trigger)

Description:

returns the IMM date corresponding to the given IMM code (e.g. Wednesday, March 18th, 2015 for H5).

Supported Platforms:

Excel

Parameters

IMMcode	2 letter IMM code (e.g. H6).
RefDate	date with respect to which the calculations are performed. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlPeriodEquivalent

string returnValue
 
qlPeriodEquivalent(
        string Period
        any Trigger)

Description:

Returns the period equivalent to the input (e.g. 11M for 1Y-1M).

Supported Platforms:

Excel

Parameters

Period	input period (e.g. 1Y-1M).
Trigger	dependency tracking trigger

qlPeriodFromFrequency

string returnValue
 
qlPeriodFromFrequency(
        string Frequency
        any Trigger)

Description:

returns a Period from a given Frequency (e.g. 6M from SemiAnnual).

Supported Platforms:

Excel

Parameters

Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly).
Trigger	dependency tracking trigger

qlPeriodLessThan

bool returnValue
 
qlPeriodLessThan(
        string Period1
        string Period2
        any Trigger)

Description:

Returns TRUE if the first period is less than the second.

Supported Platforms:

Excel

Parameters

Period1	left hand side.
Period2	right hand side.
Trigger	dependency tracking trigger