1 files changed, 12 insertions, 1 deletions
diff --git a/python/dates.py b/python/dates.py
index 025949b6..348c2b48 100644
--- a/python/dates.py
+++ b/python/dates.py
@@ -2,7 +2,12 @@ import datetime
 import pandas as pd
 import unittest
 
-from dateutil.relativedelta import relativedelta
+from dateutil.relativedelta import relativedelta, WE, MO
+try:
+    from dateutil.parser import isoparse
+except ImportError:
+    from dateutil.parser import parse as isoparse
+
 from pandas.tseries.offsets import CustomBusinessDay, Day, QuarterBegin
 from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday
 
@@ -27,6 +32,12 @@ def previous_twentieth(d):
         r -= relativedelta(months = mod)
     return r
 
+def imm_date(d):
+    if isinstance(d, str):
+        d = isoparse(d)
+    r = d + relativedelta(day=1, weekday=WE(3))
+    return r + relativedelta(weekday=MO(-1))
+
 def days_accrued(tradedate):
     tradedate = pd.Timestamp(tradedate)
     start_protection = tradedate + Day()