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

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

Yes, that is what I want.

This specific bond pays coupons on 31 March and 30 September each year, and
if those days fall on a non-business day, the next business day is used. So
instead 2017-09-30 falls on a Saturday, so the coupon will pay on
2017-10-02.

I understood that I could use 'Following' instead of 'Modified Following'
if I want to allow crossing over to the next month.

Francois Botha


On 6 June 2014 11:01, Luigi Ballabio <lui...@gm...> wrote:

> 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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