Re: [Quantlib-dev] Schedules in QuantLib

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Hi—hmm, I don't know what the new property or rule should be.  It looks
like a very specific case, and the Schedule code is already kind of a mess
(in fact, I've been wondering if we should keep all those combinations in a
single constructor or if we should migrate some cases to separate builder
methods).  A function that creates the custom date vector and passes it to
the schedule is probably not the worst solution.

Luigi

On Thu, Aug 29, 2024 at 9:38 AM Francois Botha <ig...@gm...> wrote:

> Hi Luigi,
>
> Thanks again for your informative blog post. As before, it triggered
> something. One of the nuances of valuing our local bonds is that some bonds
> pay semiannual coupons on 28 Feb and 31 Aug every year, whether it is a
> leap year or not. The Feb coupon is always payable on 28 Feb (with
> Following business day convention otherwise). One of these bonds also
> matures on 28 Feb 2048 (the South African R2048 bond), which is in a leap
> year. This makes the normal schedule generation not possible (as far as I
> know), so I usually have to build a custom date vector and pass it to a
> schedule.
>
> Is this solvable in a more elegant way? I originally thought of adding a
> new DateGeneration:NoLeapDays enum value, but this feature is probably
> something one would want to use in conjunction with the existing
> DateGeneration values. Maybe then a new class/property on the schedule to
> enable this?
>
> Looking forward to your comments (and next blog post).
>
> thanks
> Francois Botha
>
>
> On Thu, 29 Aug 2024 at 07:31, Luigi Ballabio from Implementing QuantLib <
> imp...@su...> wrote:
>
>> Hello again! This post was originally published in the March 2024 issue
>> of Wilmott Magazine.
>> ͏     ͏     ͏     ͏     ͏     ͏     ͏     ͏     ͏     ͏     ͏
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>>   ͏     ͏     ͏     ͏     ͏     ͏     ͏     ͏     ͏     ͏     ͏
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>> ͏     ͏     ͏     ͏     ͏     ͏     ͏     ͏     
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>> Schedules in QuantLib
>> <https://substack.com/app-link/post?publication_id=2431129&post_id=148072359&utm_source=post-email-title&utm_campaign=email-post-title&isFreemail=true&r=6n74v&token=eyJ1c2VyX2lkIjoxMTE2MDAzMSwicG9zdF9pZCI6MTQ4MDcyMzU5LCJpYXQiOjE3MjQ5MDk0NjAsImV4cCI6MTcyNzUwMTQ2MCwiaXNzIjoicHViLTI0MzExMjkiLCJzdWIiOiJwb3N0LXJlYWN0aW9uIn0.85OnpJ8vao6KWfoi1eaP2rF5ntBmFR5JLJ-ZjuA7ftA>
>>
>> Luigi Ballabio <https://substack.com/@lballabio>
>> Aug 29
>> <https://substack.com/@lballabio>
>>
>>
>> <https://substack.com/app-link/post?publication_id=2431129&post_id=148072359&utm_source=substack&isFreemail=true&submitLike=true&token=eyJ1c2VyX2lkIjoxMTE2MDAzMSwicG9zdF9pZCI6MTQ4MDcyMzU5LCJyZWFjdGlvbiI6IuKdpCIsImlhdCI6MTcyNDkwOTQ2MCwiZXhwIjoxNzI3NTAxNDYwLCJpc3MiOiJwdWItMjQzMTEyOSIsInN1YiI6InJlYWN0aW9uIn0.sB6gVgVEMo4ZBZA44fsZmp_c6EBYvRc-tBHyN762xG8&utm_medium=email&utm_campaign=email-reaction&r=6n74v>
>>
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>>
>> <https://substack.com/redirect/2/eyJlIjoiaHR0cHM6Ly9vcGVuLnN1YnN0YWNrLmNvbS9wdWIvaW1wbGVtZW50aW5ncXVhbnRsaWIvcC9zY2hlZHVsZXMtaW4tcXVhbnRsaWI_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.E93_m7YsoFZzpil4XdpBCcvzhGiQOxaCifb9BX4qVyU?&utm_source=substack&utm_medium=email>
>>
>> READ IN APP
>> <https://open.substack.com/pub/implementingquantlib/p/schedules-in-quantlib?utm_source=email&redirect=app-store>
>>
>>
>> Hello again! This post was originally published in the March 2024 issue
>> of Wilmott Magazine. The full source code is available on my Tutorial
>> page
>> <https://substack.com/redirect/a0e37dcd-d154-4ed3-aeaa-4f3550905f1c?j=eyJ1IjoiNm43NHYifQ.2BvNVSYTXVj4Jl36nKPPVi0V9dvSTHmeQ67a-Xs1HCg>,
>> together with code from other articles and, when available, either the
>> articles themselves or corresponding blog posts like this one.
>> Schedules in QuantLib
>>
>> For this article, I thought I’d try something new: I won’t completely
>> change the subject from what I covered in the last issue, that is, calendars
>> and holidays
>> <https://substack.com/redirect/685b5a65-f9e1-45e7-9d95-57986f55d8fd?j=eyJ1IjoiNm43NHYifQ.2BvNVSYTXVj4Jl36nKPPVi0V9dvSTHmeQ67a-Xs1HCg>.
>> This month, I’ll start from there and show how to use QuantLib to generate
>> schedules, i.e., regular sequences of dates, choosing from a number of
>> market conventions. In turn, those can be used to create sequences of
>> coupons; but that’s something for another time. What I will also show,
>> instead, is a C++ technique that can come useful at times. Off we go.
>> Some examples
>>
>> We can build a schedule with as little information as a start date, an
>> end date, and a frequency. Here is the corresponding call:
>>
>> Schedule s = MakeSchedule()
>>     .from(Date(11, May, 2021))
>>     .to(Date(11, May, 2025))
>>     .withFrequency(Semiannual);
>>
>> If you then write something like
>>
>> for (auto date : s)
>>     std::cout << date << std::endl;
>>
>> you’ll see the dates listed in the table below. Unsurprisingly, it is a
>> sequence of alternating May 11th and November 11th from the start date to
>> the end date; they are both included.
>>
>> <https://substack.com/redirect/37472cb9-17d8-4c0c-adaf-e956754aa0eb?j=eyJ1IjoiNm43NHYifQ.2BvNVSYTXVj4Jl36nKPPVi0V9dvSTHmeQ67a-Xs1HCg>
>>
>> When building coupons from this schedule, the understanding is that the
>> first date in the schedule is the start of the first coupon; the second
>> date is both the end of the first coupon and the start of the second; the
>> third date is the end of the second coupon and the start of the third;
>> until we get to the last date, which is the end of the last coupon.
>> Adjusting for holidays
>>
>> The above schedule didn’t make a distinction between holidays and
>> business days. If we want holidays to be adjusted, we need to choose a
>> calendar:
>>
>> Schedule s = MakeSchedule()
>>     .from(Date(11, May, 2021))
>>     .to(Date(11, May, 2025))
>>     .withFrequency(Semiannual)
>>     .withCalendar(TARGET());
>>
>> The above generates the schedule in the next table. As you can see, a few
>> dates are no longer the 11th of the month and were replaced with the next
>> business day. In this case, those dates fell on Saturdays or Sundays, but
>> of course the adjustment would also be performed if they were mid-week
>> holidays.
>>
>> <https://substack.com/redirect/ae8057c5-7ee5-420c-af4f-cb7978fa34c3?j=eyJ1IjoiNm43NHYifQ.2BvNVSYTXVj4Jl36nKPPVi0V9dvSTHmeQ67a-Xs1HCg>
>>
>> For convenience, it’s possible to pass a calendar and at the same time
>> specify that dates should be unadjusted; here is the corresponding call:
>>
>> Schedule s = MakeSchedule()
>>     .from(Date(11, May, 2021))
>>     .to(Date(11, May, 2025))
>>     .withFrequency(Semiannual)
>>     .withCalendar(TARGET())
>>     .withConvention(Unadjusted);
>>
>> The result is the same as the one we got when we didn’t pass a calendar.
>> As I said, this is a convenience; when reading data from a file or a DB, it
>> makes it unnecessary to write logic that chooses whether or not to pass a
>> calendar.
>> Short and long coupons
>>
>> If the start and end dates don’t bracket a whole number of periods, it
>> becomes important to specify whether the dates should be generated forwards
>> from the start date or backwards from the end date; the default is to
>> generate them backwards, but it’s probably better to be explicit. The
>> corresponding calls are as follows:
>>
>> Schedule s1 = MakeSchedule()
>>     .from(Date(11, May, 2021))
>>     .to(Date(11, February, 2025))
>>     .withFrequency(Semiannual)
>>     .withCalendar(TARGET())
>>     .forwards();
>>
>> Schedule s2 = MakeSchedule()
>>     .from(Date(11, May, 2021))
>>     .to(Date(11, February, 2025))
>>     .withFrequency(Semiannual)
>>     .withCalendar(TARGET())
>>     .backwards();
>>
>> The results are shown in the table below. In the first case, we ended up
>> with a short last coupon; in the second, with a short first coupon.
>>
>> <https://substack.com/redirect/79b2a55d-55e3-4ef7-b18a-f815310c4b21?j=eyJ1IjoiNm43NHYifQ.2BvNVSYTXVj4Jl36nKPPVi0V9dvSTHmeQ67a-Xs1HCg>
>>
>> It’s also possible to specify a long coupon by passing an explicit stub:
>>
>> Schedule s = MakeSchedule()
>>     .from(Date(11, February, 2021))
>>     .to(Date(11, May, 2025))
>>     .withFirstDate(Date(11, November, 2021))
>>     .withFrequency(Semiannual)
>>     .withCalendar(TARGET())
>>     .forwards();
>>
>> The result is shown below. In case of a long last coupon, you can use the
>> withNextToLastDate method instead of withFirstDate; the two can also be
>> used together.
>>
>> <https://substack.com/redirect/9c91b185-1084-427d-9240-b6ccdaf3ced1?j=eyJ1IjoiNm43NHYifQ.2BvNVSYTXVj4Jl36nKPPVi0V9dvSTHmeQ67a-Xs1HCg>
>> End of month
>>
>> When the dates are close to the end of their month, other conventions can
>> come into play. The default behavior is to generate dates as usual; the call
>>
>> Schedule s = MakeSchedule()
>>     .from(Date(28, February, 2019))
>>     .to(Date(28, February, 2023))
>>     .withFrequency(Semiannual)
>>     .withCalendar(TARGET())
>>     .forwards();
>>
>> results in the dates shown in the next table, where for instance February
>> 28th 2021, a Sunday, is adjusted to March 1st according to the “following”
>> convention.
>>
>> <https://substack.com/redirect/bb5d3306-b554-4057-a7ac-852c9da94366?j=eyJ1IjoiNm43NHYifQ.2BvNVSYTXVj4Jl36nKPPVi0V9dvSTHmeQ67a-Xs1HCg>
>>
>> However, if another convention such as “modified following” needs to be
>> used, it can be passed to the call:
>>
>> Schedule s = MakeSchedule()
>>     .from(Date(28, February, 2019))
>>     .to(Date(28, February, 2023))
>>     .withFrequency(Semiannual)
>>     .withCalendar(TARGET())
>>     .withConvention(ModifiedFollowing)
>>     .forwards();
>>
>> The result is displayed below and shows that February 28th 2021 is
>> adjusted back to February 26th so that it doesn’t change month.
>>
>> <https://substack.com/redirect/eba5b21f-42f4-49ab-b7d4-3a339fd9a827?j=eyJ1IjoiNm43NHYifQ.2BvNVSYTXVj4Jl36nKPPVi0V9dvSTHmeQ67a-Xs1HCg>
>>
>> Also, in some cases, the terms of an instrument might stipulate that
>> coupons reset on the last business day of the month; in that case, the
>> schedule can be generated with:
>>
>> Schedule s = MakeSchedule()
>>     .from(Date(28, February, 2019))
>>     .to(Date(28, February, 2023))
>>     .withFrequency(Semiannual)
>>     .withCalendar(TARGET())
>>     .forwards()
>>     .endOfMonth();
>>
>> The result is shown next; by comparing it with the tables above, you can
>> see the difference of behavior for the dates at the end of August.
>>
>> <https://substack.com/redirect/5d65c482-eda7-47a4-98e7-70c6b2f0bee2?j=eyJ1IjoiNm43NHYifQ.2BvNVSYTXVj4Jl36nKPPVi0V9dvSTHmeQ67a-Xs1HCg>
>> Specialized rules
>>
>> The forwards and backwards methods shown above are shorthand for calls
>> to a more general method withRule that allows to specify a generation
>> rule (“forwards” and “backwards” being two such rules.) Other, more
>> specialized rules are available; for instance, if you needed to generate
>> the schedule for the payments of a standard 5-years credit default swap,
>> you would do it as follows:
>>
>> auto tradeDate = Date(11, March, 2021);
>> auto tenor = Period(5, Years);
>> auto maturityDate =
>>     cdsMaturity(tradeDate, tenor,
>>                 DateGeneration::CDS2015);
>>
>> Schedule s = MakeSchedule()
>>     .from(tradeDate)
>>     .to(maturityDate)
>>     .withFrequency(Quarterly)
>>     .withCalendar(TARGET())
>>     .withRule(DateGeneration::CDS2015);
>>
>> First, the cdsMaturity function returns the standardized maturity date
>> for the passed trade date; for March 11th 2021, that would be December 20th
>> 2025 (it would roll to June 2025 only later in March.) Then, we pass the
>> calculated maturity date to MakeSchedule while also specifying a CDS2015
>> date-generation rule; this recalculates the start date of the CDS and also
>> adjusts all the dates in the schedule to the twentieth of their months or
>> the next business day. The result is shown below.
>>
>> <https://substack.com/redirect/39ba32d3-8058-4b41-983a-e7f7b19eef80?j=eyJ1IjoiNm43NHYifQ.2BvNVSYTXVj4Jl36nKPPVi0V9dvSTHmeQ67a-Xs1HCg>
>>
>> This covers most of the functionality of schedules in QuantLib. However,
>> you might still be curious about one thing. What about the syntax of
>> MakeSchedule? Why aren’t we using a constructor like all decent folks,
>> and what happens when we chain all those method calls?
>> The Named Parameter idiom
>>
>> The Schedule class does have a constructor, of course, but it’s a bit
>> awkward to use. As the time of this writing, corresponding to QuantLib
>> 1.32, its signature is:
>>
>> Schedule(Date effectiveDate,
>>          const Date& terminationDate,
>>          const Period& tenor,
>>          Calendar calendar,
>>          BusinessDayConvention convention,
>>          BusinessDayConvention
>>              terminationDateConvention,
>>          DateGeneration::Rule rule,
>>          bool endOfMonth,
>>          const Date& firstDate,
>>          const Date& nextToLastDate);
>>
>> This means it requires a whole lot of parameters, even in the simplest
>> case. Reasonable defaults exist for some of them (a null calendar,
>> following for the conventions, backwards for the generation rule, false for
>> the end of month, and no first or next-to-last date) but if we added them,
>> we’d run into another problem. When we’re good with most of the default
>> parameters but want to change one of the last ones (say, firstDate),
>> there’s no easy syntax we can use for the call. In Python, which supports
>> named parameters, we’d say
>>
>> s = Schedule(
>>     Date(11, February, 2021),
>>     Date(11, May, 2025),
>>     Period(6, Months),
>>     firstDate = Date(11, November, 2021),
>> )
>>
>> but in C++, we’d have to pass all the parameters before firstDate, even
>> if they all equal the defaults.
>>
>> The solution? The Named Parameter idiom (a.k.a Fluent Interface). We
>> write a helper class, MakeSchedule in our case, which contains the
>> parameters needed to build a schedule and gives them sensible default
>> values:
>>
>> class MakeSchedule {
>>     ...
>>   private:
>>     Calendar calendar_;
>>     Date effectiveDate_;
>>     Date terminationDate_;
>>     Period tenor_;
>>     BusinessDayConvention convention_ = Following;
>>     DateGeneration::Rule rule_ =
>>                          DateGeneration::Backward;
>>     bool endOfMonth_ = false;
>>     Date firstDate_ = Date();
>>     Date nextToLastDate_ = Date();
>> };
>>
>> Settings the parameters
>>
>> To set the values of the parameters, we give MakeSchedule a number of
>> setter methods; the twist here is that each of these methods returns the
>> object itself, making it possible to chain them.
>>
>> class MakeSchedule {
>>   public:
>>     MakeSchedule& from(const Date& effectiveDate) {
>>         effectiveDate_ = effectiveDate;
>>         return *this;
>>     }
>>
>>     MakeSchedule& to(const Date& terminationDate) {
>>         terminationDate_ = terminationDate;
>>         return *this;
>>     }
>>
>>     MakeSchedule& withTenor(const Period& tenor) {
>>         tenor_ = tenor;
>>         return *this;
>>     }
>>
>>     MakeSchedule& forwards() {
>>         rule_ = DateGeneration::Forward;
>>         return *this;
>>     }
>>
>>     ...
>> };
>>
>> Getting our schedule
>>
>> At this point, we’re able to write
>>
>> MakeSchedule()
>>     .from(Date(11, May, 2021))
>>     .to(Date(11, February, 2025))
>>     .withFrequency(Semiannual)
>>     .withCalendar(TARGET())
>>     .forwards()
>>
>> but the result is still a MakeSchedule instance, not a schedule. In
>> order to build the latter, we could add an explicit to_schedule() method
>> that calls the Schedule constructor and returns the result. However, we
>> went for a fancier solution.
>>
>> A little-used feature of C++ are user-defined conversion functions. You
>> can google them for details, but the gist is that, if A and B are two
>> unrelated classes, you can give B a method which returns an instance of A,
>> declared as
>>
>> class B {
>>   public:
>>     operator A() const;
>>     ...
>> };
>>
>> and if you then write
>>
>> B b;
>> A a = b;
>>
>> the compiler will look first for an A constructor taking a B instance,
>> and then (after seeing it isn’t there) it will look into B, find the
>> conversion method, invoke it, and assign to a the instance of A returned
>> by it.
>>
>> In our case, the conversion function will be declared in MakeSchedule as
>>
>> class MakeSchedule {
>>   public:
>>     ...
>>
>>     operator Schedule() const;
>> };
>>
>> and its implementation will call the Schedule constructor with the
>> required parameters and return the resulting schedule. Putting everything
>> together, we get the syntax
>>
>> Schedule s = MakeSchedule()
>>     .from(Date(11, May, 2021))
>>     .to(Date(11, May, 2025))
>>     .withFrequency(Semiannual)
>>     .withCalendar(TARGET());
>>
>> used in the examples. And in case you were wondering why I didn’t use the
>> shorter syntax, note that using auto s above would not trigger the
>> assignment operator; it would assign to s the MakeSchedule instance.
>>
>> And with this, we can bring this article to a close. See you next time!
>>
>>
>> Share
>> <https://substack.com/app-link/post?publication_id=2431129&post_id=148072359&utm_source=substack&utm_medium=email&utm_content=share&utm_campaign=email-share&action=share&triggerShare=true&isFreemail=true&r=6n74v&token=eyJ1c2VyX2lkIjoxMTE2MDAzMSwicG9zdF9pZCI6MTQ4MDcyMzU5LCJpYXQiOjE3MjQ5MDk0NjAsImV4cCI6MTcyNzUwMTQ2MCwiaXNzIjoicHViLTI0MzExMjkiLCJzdWIiOiJwb3N0LXJlYWN0aW9uIn0.85OnpJ8vao6KWfoi1eaP2rF5ntBmFR5JLJ-ZjuA7ftA>
>>
>>
>> Like
>> <https://substack.com/app-link/post?publication_id=2431129&post_id=148072359&utm_source=substack&isFreemail=true&submitLike=true&token=eyJ1c2VyX2lkIjoxMTE2MDAzMSwicG9zdF9pZCI6MTQ4MDcyMzU5LCJyZWFjdGlvbiI6IuKdpCIsImlhdCI6MTcyNDkwOTQ2MCwiZXhwIjoxNzI3NTAxNDYwLCJpc3MiOiJwdWItMjQzMTEyOSIsInN1YiI6InJlYWN0aW9uIn0.sB6gVgVEMo4ZBZA44fsZmp_c6EBYvRc-tBHyN762xG8&utm_medium=email&utm_campaign=email-reaction&r=6n74v>
>> Comment
>> <https://substack.com/app-link/post?publication_id=2431129&post_id=148072359&utm_source=substack&utm_medium=email&isFreemail=true&comments=true&token=eyJ1c2VyX2lkIjoxMTE2MDAzMSwicG9zdF9pZCI6MTQ4MDcyMzU5LCJpYXQiOjE3MjQ5MDk0NjAsImV4cCI6MTcyNzUwMTQ2MCwiaXNzIjoicHViLTI0MzExMjkiLCJzdWIiOiJwb3N0LXJlYWN0aW9uIn0.85OnpJ8vao6KWfoi1eaP2rF5ntBmFR5JLJ-ZjuA7ftA&r=6n74v&utm_campaign=email-half-magic-comments&action=post-comment&utm_source=substack&utm_medium=email>
>> Restack
>> <https://substack.com/redirect/2/eyJlIjoiaHR0cHM6Ly9vcGVuLnN1YnN0YWNrLmNvbS9wdWIvaW1wbGVtZW50aW5ncXVhbnRsaWIvcC9zY2hlZHVsZXMtaW4tcXVhbnRsaWI_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.E93_m7YsoFZzpil4XdpBCcvzhGiQOxaCifb9BX4qVyU?&utm_source=substack&utm_medium=email>
>>
>>
>> © 2024 Luigi Ballabio
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>> [image: Get the app]
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>> Start writing]
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