[Quantlib-dev] Question about Schedule dates calculation using Forward rule

[Simon C. <cou...@gm...>]

Hi all,

I was reading Dimitri Reiswich's slides on Quantlib (found at
http://quantlib.org/slides/dima-ql-intro-1.pdf), and in particular, the
slides about the Schedule class. On slide 36, there is some example code to
show how to construct a Schedule.  This code is below:

Date  begin(30,September ,2009) ,  end(15,Jun ,2012);
Calendar  myCal=Japan ();

BusinessDayConvention  bdC=BusinessDayConvention(Following );
Period  myTenor(6,Months );
DateGeneration ::Rule  myRule=DateGeneration :: Forward;

Schedule  mySched(begin ,end ,myTenor ,myCal ,bdC ,bdC ,myRule ,true);

std::vector <Date > finalSched=mySched.dates ();
BOOST_FOREACH(Date d,finalSched) std::cout << d << std::endl;

On slide 37 is its example output, which is:

September 30th, 2009
March 31st, 2010
September 30th, 2010
March 31st, 2011
September 30th, 2011
March 30th, 2012
June 15th, 2012

When I compiled and ran this code myself, I got

June 15th, 2012

September 30th, 2009

March 31st, 2010

September 30th, 2010

March 31st, 2011

September 30th, 2011

March 30th, 2012

June 29th, 2012
The difference being the last date - Jun 29th instead of Jun 15th.
The last date is later than the termination date provided in the
constructor call.

My question is which behaviour is expected and correct?  June 15th (as
in Dimitri's slides) or June 29th, the actual result?

If Dimitri's version is correct, then I suspect that this code after
the case statements for date calculation in the Schedule constructor
(dealing with effective dates) will need to change, since its the code
responsible for changing June 15th t June 29th in the example above.

if (terminationDateConvention != Unadjusted) {
      dates_.front() = calendar_.endOfMonth(dates_.front());
      dates_.back() = calendar_.endOfMonth(dates_.back());
}

I'm compiling against the latest QL code cloned from github yesterday.

Thanks

Simon