#170 Schedule is still buggy

open
nobody
None
5
2014-07-29
2014-07-21
Jimmy Chen
No

After the most recent fix (Feb 24, 2014), it's still wrong in the case of backwards generation and end-of-month convention. For example, lock at the first date in the following examples:

  1. From Jan 29, 2013 to Apr 30, 2013, 3 month tenor, ModifiedFollowing
  2. From Jun 28, 2013 to Dec 30, 2013, 3 month tenor, ModifiedFollowing

Discussion

  • Luigi Ballabio
    Luigi Ballabio
    2014-07-29

    What calendar are you using, and what results would you expect?