Re: [Quantlib-dev] Generating schedules for 29th or 30th of the month

[Chris H. <chr...@ya...>]

ate =EffDate = 20090827 
 MatDate = 20220829
 Frequency = Semi-Annual
 Payment
day of month = 29
 Payment Date rule = Modified
Following
 Payment Holiday Calendar = EUR
 
Resulting
payment dates (according to Summit):
 
20100226
20100830
20110228
20110829
20120229
20120829
20130228
20130829
20140228
20140829
20150227
20150831
20160229
20160829
20170228
20170829
20180228
20180829
20190228
20190829
20200228
20200831
20210226
20210830
20220228
20220829
 
I am guessing in this particular case that just
setting the Schedule to generate backwards from 20220829 and not setting firstDateor nextToLastDatemight produce the correct result? However I
could produce other test cases where it would not work, for example
 
        EffDate = 20090228 
        MatDate = 20220228
        Payment Frequency = Annual
        Payment day of month = 29
 
I
believe that adding an extra optional parameter to the Schedule constructor
would allow this case to be internally handled but not break any existing code:
 
        Schedule(Date effectiveDate,
                 const Date& terminationDate,
                 const Period& tenor,
                 const Calendar& calendar,
                 BusinessDayConvention convention,
                 BusinessDayConvention
terminationDateConvention,
                 DateGeneration::Rule rule,
                 bool endOfMonth,
                 const Date& firstDate = Date(),
                 constDate& nextToLastDate = Date()
int
annDayOfMonth = 0);
 
Setting
annDayOfMonth=31 is then the same as setting endOfMonth=true. Setting annDayOfMonth=29
or 30 will then trigger new functionality to generate schedules as above.

Chris




On Thursday, 31 October 2013, 22:12, Ferdinando M. Ametrano <fer...@am...> wrote:
 
may you please post target vector of dates to be reproduced?



On Thu, Oct 31, 2013 at 6:19 PM, Chris Higgs <chr...@ya...> wrote:

I am building a bridge between Summit and QuantLib and have come across a payment schedule which I believe cannot currently be generated in QuantLib. Basically it has payments to be made on the 29th of each month, but with a settlement/start date not on the 29th. Normally I am passing the firstDate parameter to the Schedule class as the 29th of the relevant month of the first payment. However in my case the first date is in February 2009, so I cannot do this as 29th Feb 2009 is an invalid date. If I pass the 28th Feb, then most of my payments come out on the 28th, and if I set the end of month flag I get typically the 30th/31st, neither of which is correct I believe the same issue arise if payments are supposed to happen on the 30th of the month.
>
>If someone can confirm this is indeed a case not currently handled,
 then I happy to take a look at the code to see if I can work out a solution which caters for this case, and which would be backwards compatible.
>
>Chris Higgs
>
>
>
>------------------------------------------------------------------------------
>Android is increasing in popularity, but the open development platform that
>developers love is also attractive to malware creators. Download this white
>paper to learn more about secure code signing practices that can help keep
>Android apps secure.
>http://pubads.g.doubleclick.net/gampad/clk?id=65839951&iu=/4140/ostg.clktrk
>_______________________________________________
>QuantLib-dev mailing list
>Qua...@li...
>https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>