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From: Pranay P. <pra...@cr...> - 2025-01-17 19:23:15
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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 >>> >> _______________________________________________ >>> QuantLib-users mailing list >>> Qua...@li... >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >>> >> |