Derivatives Algorithms by Hyer Tom

Author:Hyer, Tom
Language: eng
Format: epub
Publisher: World Scientific Publishing Company

We distinguish two types of increment:

(1) Increment by some number of intervals;

(2) Increment to the next (or previous) of some set of dates.

The latter category includes, e.g., advancing to the next quarterly IMM date. The best solution is an enumerated list describing which special dates allow this:

Other sets of special days might be added, either in this file or in extensions (if we mark SpecialDay as extensible; see Sec. 8.1). The implementation of one type of increment is now straightforward:

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