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Generating schedules for 29th or 30th of the month

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Chris Higgs

Generating schedules for 29th or 30th of the month

I am building a bridge between Summit and QuantLib and have come across a payment schedule which I believe cannot currently be generated in QuantLib. Basically it has payments to be made on the 29th of each month, but with a settlement/start date not on the 29th. Normally I am passing the firstDate parameter to the Schedule class as the 29th of the relevant month of the first payment. However in my case the first date is in February 2009, so I cannot do this as 29th Feb 2009 is an invalid date. If I pass the 28th Feb, then most of my payments come out on the 28th, and if I set the end of month flag I get typically the 30th/31st, neither of which is correct I believe the same issue arise if payments are supposed to happen on the 30th of the month.

If someone can confirm this is indeed a case not currently handled, then I happy to take a look at the code to see if I can work out a solution which caters for this case, and which would be backwards compatible.

Chris Higgs

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Luigi Ballabio

Re: Generating schedules for 29th or 30th of the month

Hello Chris,
no, it's not currently handled. (As a workaround, if the first
date were in February but the last weren't, you might build it
backwards from the 29th of the last month. But that's not likely--your
schedules probably span a whole number of years...)

Luigi

On Thu, Oct 31, 2013 at 6:19 PM, Chris Higgs <[hidden email]> wrote:

> I am building a bridge between Summit and QuantLib and have come across a
> payment schedule which I believe cannot currently be generated in QuantLib.
> Basically it has payments to be made on the 29th of each month, but with a
> settlement/start date not on the 29th. Normally I am passing the firstDate
> parameter to the Schedule class as the 29th of the relevant month of the
> first payment. However in my case the first date is in February 2009, so I
> cannot do this as 29th Feb 2009 is an invalid date. If I pass the 28th Feb,
> then most of my payments come out on the 28th, and if I set the end of month
> flag I get typically the 30th/31st, neither of which is correct I believe
> the same issue arise if payments are supposed to happen on the 30th of the
> month.
>
> If someone can confirm this is indeed a case not currently handled, then I
> happy to take a look at the code to see if I can work out a solution which
> caters for this case, and which would be backwards compatible.
>
> Chris Higgs
>
>
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> developers love is also attractive to malware creators. Download this white
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Ferdinando M. Ametrano-2

Re: Generating schedules for 29th or 30th of the month

In reply to this post by Chris Higgs

may you please post target vector of dates to be reproduced?

On Thu, Oct 31, 2013 at 6:19 PM, Chris Higgs <[hidden email]> wrote:

I am building a bridge between Summit and QuantLib and have come across a payment schedule which I believe cannot currently be generated in QuantLib. Basically it has payments to be made on the 29th of each month, but with a settlement/start date not on the 29th. Normally I am passing the firstDate parameter to the Schedule class as the 29th of the relevant month of the first payment. However in my case the first date is in February 2009, so I cannot do this as 29th Feb 2009 is an invalid date. If I pass the 28th Feb, then most of my payments come out on the 28th, and if I set the end of month flag I get typically the 30th/31st, neither of which is correct I believe the same issue arise if payments are supposed to happen on the 30th of the month.

If someone can confirm this is indeed a case not currently handled, then I happy to take a look at the code to see if I can work out a solution which caters for this case, and which would be backwards compatible.

Chris Higgs

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Chris Higgs

Re: Generating schedules for 29th or 30th of the month

ate =EffDate = 20090827

MatDate = 20220829

Frequency = Semi-Annual

Payment day of month = 29

Payment Date rule = Modified Following

Payment Holiday Calendar = EUR

Resulting payment dates (according to Summit):

20100226

20100830

20110228

20110829

20120229

20120829

20130228

20130829

20140228

20140829

20150227

20150831

20160229

20160829

20170228

20170829

20180228

20180829

20190228

20190829

20200228

20200831

20210226

20210830

20220228

20220829

I am guessing in this particular case that just setting the Schedule to generate backwards from 20220829 and not setting firstDate or nextToLastDate might produce the correct result? However I could produce other test cases where it would not work, for example

EffDate = 20090228

MatDate = 20220228

Payment Frequency = Annual

Payment day of month = 29

I believe that adding an extra optional parameter to the Schedule constructor would allow this case to be internally handled but not break any existing code:

Schedule(Date effectiveDate,

const Date& terminationDate,

const Period& tenor,

const Calendar& calendar,

BusinessDayConvention convention,

BusinessDayConvention terminationDateConvention,

DateGeneration::Rule rule,

bool endOfMonth,

const Date& firstDate = Date(),

const Date& nextToLastDate = Date()

int annDayOfMonth = 0);

Setting annDayOfMonth=31 is then the same as setting endOfMonth=true. Setting annDayOfMonth=29 or 30 will then trigger new functionality to generate schedules as above.

Chris

On Thursday, 31 October 2013, 22:12, Ferdinando M. Ametrano <[hidden email]> wrote:

may you please post target vector of dates to be reproduced?

On Thu, Oct 31, 2013 at 6:19 PM, Chris Higgs <[hidden email]> wrote:

I am building a bridge between Summit and QuantLib and have come across a payment schedule which I believe cannot currently be generated in QuantLib. Basically it has payments to be made on the 29th of each month, but with a settlement/start date not on the 29th. Normally I am passing the firstDate parameter to the Schedule class as the 29th of the relevant month of the first payment. However in my case the first date is in February 2009, so I cannot do this as 29th Feb 2009 is an invalid date. If I pass the 28th Feb, then most of my payments come out on the 28th, and if I set the end of month flag I get typically the 30th/31st, neither of which is correct I believe the same issue arise if payments are supposed to happen on the 30th of the month.

If someone can confirm this is indeed a case not currently handled, then I happy to take a look at the code to see if I can work out a solution which caters for this case, and which would be backwards compatible.

Chris Higgs

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developers love is also attractive to malware creators. Download this white
paper to learn more about secure code signing practices that can help keep
Android apps secure.
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Chris Higgs

Re: Generating schedules for 29th or 30th of the month

I found that adding this code to the routine Calendar::advance allows the schedule to be generated as expected if annDay is passed as 29:

...

        } else {
            Date d1 = d + n*unit;

            // we are sure the unit is Months or Years
            if (endOfMonth && isEndOfMonth(d))
                return Calendar::endOfMonth(d1);
        else if (annDay > 0)
        {
            if (annDay >= Calendar::endOfMonth(d1).dayOfMonth())
                return Calendar::endOfMonth(d1);
        else
            d1 = Date(annDay, d1.month(), d1.year());
        }

            return adjust(d1, c);
        }
    }

...

The rest of the changes involve only the passing of annDay as a new optional parameter to the Schedule constructor, and then on into the calls to Calendar::advance.

Chris

On Friday, 1 November 2013, 8:56, Chris Higgs <[hidden email]> wrote:

ate =EffDate = 20090827

MatDate = 20220829

Frequency = Semi-Annual

Payment day of month = 29

Payment Date rule = Modified Following

Payment Holiday Calendar = EUR

Resulting payment dates (according to Summit):

20100226

20100830

20110228

20110829

20120229

20120829

20130228

20130829

20140228

20140829

20150227

20150831

20160229

20160829

20170228

20170829

20180228

20180829

20190228

20190829

20200228

20200831

20210226

20210830

20220228

20220829

EffDate = 20090228

MatDate = 20220228

Payment Frequency = Annual

Payment day of month = 29

I believe that adding an extra optional parameter to the Schedule constructor would allow this case to be internally handled but not break any existing code:

Schedule(Date effectiveDate,

const Date& terminationDate,

const Period& tenor,

const Calendar& calendar,

BusinessDayConvention convention,

BusinessDayConvention terminationDateConvention,

DateGeneration::Rule rule,

bool endOfMonth,

const Date& firstDate = Date(),

const Date& nextToLastDate = Date()

int annDayOfMonth = 0);

Setting annDayOfMonth=31 is then the same as setting endOfMonth=true. Setting annDayOfMonth=29 or 30 will then trigger new functionality to generate schedules as above.

Chris

On Thursday, 31 October 2013, 22:12, Ferdinando M. Ametrano <[hidden email]> wrote:

may you please post target vector of dates to be reproduced?

On Thu, Oct 31, 2013 at 6:19 PM, Chris Higgs <[hidden email]> wrote:

I am building a bridge between Summit and QuantLib and have come across a payment schedule which I believe cannot currently be generated in QuantLib. Basically it has payments to be made on the 29th of each month, but with a settlement/start date not on the 29th. Normally I am passing the firstDate parameter to the Schedule class as the 29th of the relevant month of the first payment. However in my case the first date is in February 2009, so I cannot do this as 29th Feb 2009 is an invalid date. If I pass the 28th Feb, then most of my payments come out on the 28th, and if I set the end of month flag I get typically the 30th/31st, neither of which is correct I believe the same issue arise if payments are supposed to happen on the 30th of the month.

If someone can confirm this is indeed a case not currently handled, then I happy to take a look at the code to see if I can work out a solution which caters for this case, and which would be backwards compatible.

Chris Higgs

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developers love is also attractive to malware creators. Download this white
paper to learn more about secure code signing practices that can help keep
Android apps secure.
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