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

[Luigi B. <lui...@gm...>]

You want the last business day of the month, so you take the last day
of the month and adjust it backwards. If you adjusted it forward,
you'd get the first business day of the following month instead.

Luigi

On Fri, Jun 6, 2014 at 10:56 AM, Francois Botha <ig...@gm...> wrote:
> 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
>
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