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cds_standard_maturity

helixrs::statics::imm

Function cds_standard_maturity 

pub fn cds_standard_maturity(today: NaiveDate, tenor_years: u32) -> NaiveDate
Expand description

The CDS2015 standard maturity for a tenor_years-year CDS traded on today.

Per the ISDA CDS2015 convention, the maturity is next_semi_annual_roll_date(today) + tenor_years − 3 months. Because the semi-annual roll always lands on a 20-Mar or 20-Sep, the result for a whole-year tenor always lands on a 20-Jun or 20-Dec (a CDS-IMM date).

§Panics

Panics if tenor_years == 0 (a 0Y CDS is not a meaningful contract).