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

[Luigi B. <lui...@gm...>]

For future reference: https://quant.stackexchange.com/questions/81706/


On Fri, Jan 17, 2025 at 8:25 PM Pranay Patil <
pra...@cr...> wrote:

> 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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