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

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

If I use end-of-month = false, then the dates generated will be either 30
March (not 31) and 30 September, right? Maturity date is 30 September 2021
in this case.

Francois Botha


On 6 June 2014 11:19, Luigi Ballabio <lui...@gm...> wrote:

> In this case you wouldn't use end-of-month = true.
>
> On Fri, Jun 6, 2014 at 11:16 AM, Francois Botha <ig...@gm...> wrote:
> > 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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> >>
> >>
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>
>
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