Re: [Quantlib-users] Issue with Payment Schedule in QuantLib Python

[Pranay P. <pra...@cr...>]

Thanks, I'll look into it.

On Sat, 18 Jan 2025 at 12:51 AM, Trent Maetzold <tr...@ma...> wrote:

> Someone might be able to give clarification on this, but the schedule
> should determine the accrual schedule. You can have payments adjusted by
> specifying following and eom = false on the actual instrument (so that the
> cashflows get discounted correctly).
>
>
> -------- Original Message --------
>
> On 1/17/25 11:18, Pranay Patil wrote:
>
> Thank you for the clarification.
>
> On Fri, 17 Jan 2025 at 8:21 PM, Roshan Yadav <er....@gm...>
> wrote:
>
>> QuantLib applies the EOM (End of Month) rule, overriding the standard
>> convention, which ensures that payment dates are always set to the end of
>> the month.
>>
>> On Fri, 17 Jan, 2025, 7:22 pm Pranay Patil, <
>> pra...@cr...> wrote:
>>
>>>   I am encountering an issue with the Schedule class in QuantLib while
>>> trying to generate a payment schedule. Below is the scenario I am working
>>> with:
>>>
>>> *Issue Date:* 1 January 2025
>>> *Maturity Date:* 31 August 2025
>>> *First Stub Date:* 31 January 2025
>>> *Calendar Holiday:* 31 March 2025 (specified in the calendar)
>>> *End-of-Month (EOM):* True
>>>
>>> this is my Code snippet
>>> payment_schedule = ql.Schedule(
>>>     issueDate,
>>>     maturityDate,
>>>     ql.Period(fromFrequency),
>>>     calendar,
>>>     ql.Following,
>>>     ql.Unadjusted,
>>>     dategeneration,
>>>     eom,
>>>     firststubdate
>>> )
>>>
>>>   Even though I have specified ql.Following for the date adjustment
>>> convention, the schedule generates a date of 30 March 2025 instead of the
>>> expected 1 April 2025. Given the holiday on 31 March 2025 and the End-of-Month
>>> (EOM) flag being set to True, I expected the date to roll forward to 1
>>> April 2025.
>>>
>>> My evaluation is Schedule class is giving preference to the 'eom' flag,
>>> not allowing me to choose next month's date according to the ql.Following
>>> Can u help me with this how can i approach this  problem
>>>
>>> Thanks
>>>
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>>