CME Eurodollar futures expiration date calculator

eurodollar_exdates.py

from datetime import datetime, date, timedelta

def EurodollarExpirations():
    start = datetime.now().date()
    n = 20
    ex = [date(2008,12,15)]
    for i in range(120):
        x = ex[-1]
        x += timedelta(days=91)
        if x.day <= 12: x += timedelta(days=7)
        ex.append(x)
    ex = [e for e in ex if e >= start]
    while len(ex) < n:
        x = ex[-1]
        x += timedelta(days=91)
        if x.day <= 12: x += timedelta(days=7)
        ex.append(x)
    return ex[:n]

def Days360(start, stop):
    days = 360 * (stop.year - start.year)
    days += 30 * (stop.month - start.month)
    sd = start.day
    td = stop.day
    feb28 = False
    if start.month == 2:
        next = start + timedelta(days=1)
        if next.month == 3:
            sd = 30
            feb28 = True
    if stop.month == 2:
        next = stop + timedelta(days=1)
        if next.month == 3 and feb28: td = 30
    if td == 31 and sd in [30, 31]: td = 30
    if sd == 31: sd = 30
    days += td-sd
    return days

def Plus90(mark):
    m = mark + timedelta(days=80)
    while Days360(mark, m) < 90:
        m += timedelta(days=1)
    return m

if __name__ == '__main__':

    ex = EurodollarExpirations()
    print '   CON  EXP      TERM      DAYS'
    for i in range(20):
        x = ex[i]
        year = x.year
        month = {3:'H',6:'M',9:'U',12:'Z'}[x.month]
        term = Plus90(x)
        actual_days = (term - x).days
        print str(i+1).ljust(2),\
              'GE%s%s'%(month, str(year)[-1]),\
              x.strftime('%Y%m%d'),\
              term.strftime('%Y%m%d'),\
              '',actual_days