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

[Trent M. <tr...@ma...>]

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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