CDS schedule generation changes and tests for issue lballabio#727.

The main addition is a function cdsMaturity(...) that can be used to
derive a CDS maturity date given a trade date, a valid CDS tenor and a
valid CDS date generation rule. The date generation is tested against
the dates provided in the ISDA documentation for CDS2015. It is also
tested for CDS and OldCDS. The logic for the 0M tenor is added for the
CDS and CDS2015 rules.

ql/time/schedule.cpp

@@ -315,11 +315,6 @@ namespace QuantLib {
             exitDate = terminationDate;
             if (nextToLastDate_ != Date())
                 exitDate = nextToLastDate_;
-            if(*rule_ == DateGeneration::CDS2015
-               && nextTwentieth(terminationDate, *rule_) == terminationDate
-               && terminationDate.month() %2 == 1) {
-                exitDate = nextTwentieth(terminationDate+1, *rule_);
-            }
             for (;;) {
                 Date temp = nullCalendar.advance(seed, periods*(*tenor_),
                                                  convention, *endOfMonth_);
@@ -348,16 +343,10 @@ namespace QuantLib {
                 if (*rule_ == DateGeneration::Twentieth ||
                     *rule_ == DateGeneration::TwentiethIMM ||
                     *rule_ == DateGeneration::OldCDS ||
-                    *rule_ == DateGeneration::CDS) {
+                    *rule_ == DateGeneration::CDS ||
+                    *rule_ == DateGeneration::CDS2015) {
                     dates_.push_back(nextTwentieth(terminationDate, *rule_));
                     isRegular_.push_back(true);
-                } else if(*rule_ == DateGeneration::CDS2015) {
-                    Date tentativeTerminationDate =
-                        nextTwentieth(terminationDate, *rule_);
-                    if(tentativeTerminationDate.month() %2 == 0) {
-                        dates_.push_back(tentativeTerminationDate);
-                        isRegular_.push_back(true);
-                    }
                 } else {
                     dates_.push_back(terminationDate);
                     isRegular_.push_back(false);
@@ -676,4 +665,33 @@ namespace QuantLib {
                         rule_, endOfMonth_, firstDate_, nextToLastDate_);
     }
 
+    Date cdsMaturity(const Date& tradeDate, const Period& tenor, DateGeneration::Rule rule) {
+
+        QL_REQUIRE(rule == DateGeneration::CDS2015 || rule == DateGeneration::CDS || rule == DateGeneration::OldCDS,
+            "cdsMaturity should only be used with date generation rule CDS2015, CDS or OldCDS");
+
+        QL_REQUIRE(tenor.units() == Years || (tenor.units() == Months && tenor.length() % 3 == 0),
+            "cdsMaturity expects a tenor that is a multiple of 3 months.");
+
+        if (rule == DateGeneration::OldCDS) {
+            QL_REQUIRE(tenor != 0 * Months, "A tenor of 0M is not supported for OldCDS.");
+        }
+
+        Date anchorDate = previousTwentieth(tradeDate, rule);
+        if (rule == DateGeneration::CDS2015 && (anchorDate == Date(20, Dec, anchorDate.year()) ||
+            anchorDate == Date(20, Jun, anchorDate.year()))) {
+            if (tenor.length() == 0) {
+                return Null<Date>();
+            } else {
+                anchorDate -= 3 * Months;
+            }
+        }
+
+        Date maturity = anchorDate + tenor + 3 * Months;
+        QL_REQUIRE(maturity > tradeDate, "error calculating CDS maturity. Tenor is " << tenor << ", trade date is " <<
+            io::iso_date(tradeDate) << " generating a maturity of " << io::iso_date(maturity) << " <= trade date.");
+
+        return maturity;
+    }
+
 }

ql/time/schedule.hpp

@@ -28,6 +28,7 @@
 
 #include <ql/time/calendars/nullcalendar.hpp>
 #include <ql/utilities/null.hpp>
+#include <ql/time/calendars/weekendsonly.hpp>
 #include <ql/time/period.hpp>
 #include <ql/time/dategenerationrule.hpp>
 #include <ql/errors.hpp>
@@ -151,7 +152,20 @@ namespace QuantLib {
         Date firstDate_, nextToLastDate_;
     };
 
+    /*! Return the CDS maturity date given the CDS trade date, \p tradeDate, the CDS \p tenor and a CDS \p rule.
 
+        A \c Null<Date>() is returned when a \p rule of \c CDS2015 and a \p tenor length of zero fail to yield a valid 
+        CDS maturity date.
+
+        \warning An exception will be thrown if the \p rule is not \c CDS2015, \c CDS or \c OldCDS.
+
+        \warning An exception will be thrown if the \p rule is \c OldCDS and a \p tenor of 0 months is provided. This 
+                 restriction can be removed if 0M tenor was available before the CDS Big Bang 2009.
+
+        \warning An exception will be thrown if the \p tenor is not a multiple of 3 months. For the avoidance of 
+                 doubt, a \p tenor of 0 months is supported.
+    */
+    Date cdsMaturity(const Date& tradeDate, const Period& tenor, DateGeneration::Rule rule);
 
     // inline definitions