Business Day Convention in Calendar Does not Seem to work

[imachabeli]

Below is the sample (in C# but hopefully context is clear)

            Calendar cal = new
UnitedStates(UnitedStates.Market.GovernmentBond);
            Date dec30 = new Date(30, Month.December , 2010);
            Date d2mf = cal.advance(dec30, new Period(2, TimeUnit.Days),
BusinessDayConvention.ModifiedFollowing);
            Date d2f = cal.advance(dec30, new Period(2, TimeUnit.Days),
BusinessDayConvention.Following);
            Console.WriteLine("ModifiedFollowing -- {0}", d2mf.__str__());
            Console.WriteLine("Following -- {0}", d2f.__str__());


ModifiedFollowing -- January 3rd, 2011   //I would expect to see Dec 31 for
ModifiedFollowing
Following -- January 3rd, 2011

Regards
Irakli


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[Luigi Ballabio]

On Wed, 2010-12-15 at 11:29 -0500, Irakli Machabeli wrote:

> Below is the sample (in C# but hopefully context is clear)
>
>             Calendar cal = new
> UnitedStates(UnitedStates.Market.GovernmentBond);
>             Date dec30 = new Date(30, Month.December , 2010);
>             Date d2mf = cal.advance(dec30, new Period(2, TimeUnit.Days),
> BusinessDayConvention.ModifiedFollowing);
>             Console.WriteLine("ModifiedFollowing -- {0}", d2mf.__str__());
>
> ModifiedFollowing -- January 3rd, 2011   //I would expect to see Dec 31

At first, that's what I would have expected, too.  But then, I'm not
sure that it makes a great deal of sense to say "advance 2 business
days, Modified Following"

Nando, you're our resident ISDA expert.  What do you think?

Luigi


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