Re: [Quantlib-dev] Ex-coupon adjustment based on unadjusted coupon dates

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

Sorry, ignore this.

I'll just calculate my own adjusted ex-coupon period when required and pass
that through.

regards

Francois Botha

On 19 July 2017 at 11:55, Francois Botha <ig...@gm...> wrote:

> Hi all,
>
> In South Africa, bond settlement is T+3 trading days and the ex-coupon
> period is 10 calendar days from the UNadjusted coupon payment date.
>
> So for a trade date of 2017-06-30 the settlement date is 2017-07-05 (over
> a weekend).
>
> One specific bond, the R207, has a coupon payable on 2017-07-15 (a
> Saturday), which is adjusted to Monday (BDC = Following).
>
> The correct ex-coupon date should be 2017-07-15 - 10 calendar days =
> 2017-07-05, which means on the trade date of 2017-06-30 that coupon was
> already ex.
>
> However, I see in fixedratecoupon.cpp, line 154+ that the ex-coupon date
> is calculated based on the adjusted coupon payment date (line 166).
>
> Unless there is a better alternative, I'd like to add a parameter to the
> ex-coupon details to enable the calculation of the ex-coupon date based on
> the UNadjusted coupon payment date. If you are happy with this, I'll submit
> a PR, but I just wanted to confirm with you first.
>
> thanks
> Francois Botha
>