Re: [Quantlib-users] Effective Date Adjustment

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

Hello João,
    if I understand your question correctly, I would create the swap
schedule with the Unadjusted convention and specify ModifiedFollowing to
adjust the payment dates.  May you post your code so I can suggest where to
put the changes?

Best,
    Luigi


On Tue, May 13, 2025 at 11:21 PM JOÃO FELIPE VILAS BOAS <B5...@fg...>
wrote:

> Good afternoon,
> I'm currently encountering an issue while setting up an Overnight Indexed
> Swap (OIS) in QuantLib using the CAD calendar. Specifically, the swap's
> effective date falls on a weekend (e.g., a Saturday). When using the
> ModifiedFollowing convention, QuantLib correctly adjusts the start of the
> *schedule* to the next business day (i.e., Monday). However, the swap
> does not appear to accrue interest properly from the Friday rate preceding
> the weekend — unlike what is typically seen in Bloomberg.
> In Bloomberg, there is a field called *Effective Date Adjustment*, which
> allows configuration of how the effective date is adjusted (e.g., whether
> it should be moved according to business day convention or left
> unadjusted). I have not found a similar flag or mechanism in QuantLib to
> apply this kind of granular control — particularly to adjust *only* the
> effective date while preserving proper accrual logic (e.g., accruing the
> Friday rate over the weekend).
> My questions:
>
>    1. Is there a way in QuantLib to specify an adjusted effective date
>    (following a convention like ModifiedFollowing) while still ensuring
>    that the accrual of interest includes the weekend days from the last valid
>    fixing just in the effective date?
>    2. Is there a recommended workaround or override to replicate
>    Bloomberg’s behavior in this scenario?
>
> Any guidance would be appreciated.
> Best regards,
>
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