From 90c1505224eece267a85659e1f49999179d2b4d5 Mon Sep 17 00:00:00 2001 From: Guillaume Horel Date: Mon, 24 Apr 2023 14:49:41 -0400 Subject: [PATCH] add ThirdWednesdayInclusive to DateGeneration --- quantlib/time/dategeneration.pxd | 3 +++ 1 file changed, 3 insertions(+) diff --git a/quantlib/time/dategeneration.pxd b/quantlib/time/dategeneration.pxd index 62eabb09c..bed2bdb3c 100644 --- a/quantlib/time/dategeneration.pxd +++ b/quantlib/time/dategeneration.pxd @@ -7,6 +7,9 @@ cdef extern from 'ql/time/dategenerationrule.hpp' namespace 'QuantLib::DateGener ThirdWednesday # All dates but effective date and termination # date are taken to be on the third wednesday # of their month (with forward calculation.) + ThirdWednesdayInclusive # All dates including effective date and termination + # date are taken to be on the third wednesday + # of their month (with forward calculation). Twentieth # 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.