1 files changed, 16 insertions, 1 deletions
diff --git a/python/analytics/utils.py b/python/analytics/utils.py
index 0cefaa9c..0341b7cc 100644
--- a/python/analytics/utils.py
+++ b/python/analytics/utils.py
@@ -1,10 +1,12 @@
 import numpy as np
 import pandas as pd
 from scipy.special import h_roots
-from dateutil.relativedelta import relativedelta
+from dateutil.relativedelta import relativedelta, FR
 import datetime
 from pyisda.date import pydate_to_TDate
 from pandas.api.types import CategoricalDtype
+from quantlib.time.date import nth_weekday, Wednesday, Date
+
 tenor_t = CategoricalDtype(['3yr', '5yr', '7yr', '10yr'], ordered=True)
 
 def GHquad(n):
@@ -30,6 +32,19 @@ def next_twentieth(d):
         r += relativedelta(months=3 - mod)
     return r
 
+def third_wednesday(d):
+    if isinstance(d, datetime.date):
+        return d + relativedelta(day=1, weekday=FR(3))
+    elif isinstance(d, Date):
+        return nth_weekday(3, Wednesday, d.month, d.year)
+
+def next_third_wed(d):
+    y = third_wednesday(d)
+    if y < d:
+        return third_wednesday(d + relativedelta(months=1))
+    else:
+        return y
+
 def roll_date(d, tenor, nd_array=False):
     """ roll date d to the next CDS maturity"""
     cutoff = pd.Timestamp('2015-09-20')