next_imm

rateslib.calendars.next_imm(start, method='imm')

Return the next IMM date after the given start date.

Parameters:

• start (datetime) – The date from which to determine the next IMM.

• method (str in {"imm", "serial_imm", "credit_imm", "credit_imm_HU", "credit_imm_MZ"}) – A calculation identifier. See notes

Return type:

datetime

Notes

Default ‘imm’ returns the third Wednesday in any month of March, June, September or December.

‘serial_imm’ returns the third Wednesday in any month of the year.

‘credit_imm’ returns the 20th of the month in March, June, September or December.

‘credit_imm_HU’ returns the 20th of the month in March or September, facilitating CDSs that rolls on a 6-month basis.

‘credit_imm_MZ’ returns the 20th of the month in June and December.