[Quantlib-dev] Schedule end of month business day convention

[Francois B. <ig...@gm...>]

Hi,

In schedule.cpp, lines 349 - 355:

            if (convention == Unadjusted) {
                for (Size i=1; i<dates_.size()-1; ++i)
                    dates_[i] = Date::endOfMonth(dates_[i]);
            } else {
                for (Size i=1; i<dates_.size()-1; ++i)
                    dates_[i] = calendar_.endOfMonth(dates_[i]);
            }

And calendar.hpp: lines 207-209:

    inline Date Calendar::endOfMonth(const Date& d) const {
        return adjust(Date::endOfMonth(d), Preceding);
    }

This is applicable when the endOfMonth rule is *true*. If the business day
convention is Unadjusted, it works fine, but if the business day convention
is e.g. Modified Following, the second part of the code is executed. But
calendar_.endOfMonth is hardcoded to use Preceding. The actual business day
convention isn't passed through. Is this a bug or maybe I don't understand
something?

regards
Francois Botha