Toy,
Good point. Of course it's worth mentioning
though, that this all depends
on the frequency! because say with 3M, 6M or 1Y roll, there WILL be stub
dates, both at start and end (or both) even with EOM. And of course, the
case with stubs at start and end become a bit
trickier.
To be useful in general, it would also have to
handle the roll conventions
(ISDA terminology here) for which holiday calendars
are needed even for
the unadjusted (theoretical) dates; i.e. US
Treasury, Floating Rate Notes,
Canadian Bourse MM etc.
James B.
Locked
