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Hi all,
I believe that you guys also need to implement a scheduler that calculates
dates backwards.
Take the following swap start and end dates.
Start 28-Feb-01
End 31-Mar-03
These are EOM dates and thus no stubs will/should be expected.
However if you begin your period generation from the start date and go
forward in time, a stub will be produced at the end.
If however you begin your period generation from the end date going back in
time, you have exactly the dates you would expect. All periods landing on
EOM days.
I beleive you should have, in addition to what you already have, a backward
scheduler class, giving the user the choice of algorithms with the backward
scheduler being the default. It is also market convention to go back in time
from the end date.
The two columns below demostrate the differences.
Start 28-Feb-01
End 31-Mar-03
FWD BKWD
28-Feb-01 28-Feb-01
28-Mar-01 31-Mar-01
28-Apr-01 30-Apr-01
28-May-01 31-May-01
28-Jun-01 30-Jun-01
28-Jul-01 31-Jul-01
28-Aug-01 31-Aug-01
28-Sep-01 30-Sep-01
28-Oct-01 31-Oct-01
28-Nov-01 30-Nov-01
28-Dec-01 31-Dec-01
28-Jan-02 31-Jan-02
28-Feb-02 28-Feb-02
28-Mar-02 31-Mar-02
28-Apr-02 30-Apr-02
28-May-02 31-May-02
28-Jun-02 30-Jun-02
28-Jul-02 31-Jul-02
28-Aug-02 31-Aug-02
28-Sep-02 30-Sep-02
28-Oct-02 31-Oct-02
28-Nov-02 30-Nov-02
28-Dec-02 31-Dec-02
28-Jan-03 31-Jan-03
28-Feb-03 28-Feb-03
28-Mar-03 31-Mar-03
31-Mar-03
Regards,
Toyin Akin.
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