Hi
On second thought I agree with the convention behaviour, so please
just consider my suggestion for terminationDateConvention
ciao -- Nando
On Thu, Apr 9, 2009 at 2:21 PM, Ferdinando Ametrano <
[hidden email]> wrote:
> On Wed, Apr 8, 2009 at 5:50 PM, <
[hidden email]> wrote:
>> Revision: 16124
>> [...]
>> Log Message:
>> -----------
>> More MakeSchedule setters instead of anonymous constructor parameters
>> [...]
>> + BusinessDayConvention terminationDateConvention;
>> + // if set explicitly, we use it;
>> + if (terminationDateConvention_) {
>> + terminationDateConvention = *terminationDateConvention_;
>> + } else {
>> + // it equals the convention for all other dates.
>> + terminationDateConvention = convention;
>> + }
>
> if not set I would prefer Schedule to default to Unadjusted for the
> termination date, as per ISDA standard where it states that
> termination date should always be considered unadjusted unless
> explicitly specified
>
>> + BusinessDayConvention convention;
>> + // if a convention was set, we use it.
>> + if (convention_) {
>> + convention = *convention_;
>> + } else {
>> + if (!calendar_.empty()) {
>> + // ...if we set a calendar, we probably want it to be used;
>> + convention = Following;
>> + } else {
>> + // if not, we don't care.
>> + convention = Unadjusted;
>> + }
>> + }
>
> even here I would prefer Unadjusted. In this case I have a weaker
> argument: Schedule is most often used to calculate accrual dates
> (derived payment dates will be adjusted anyway). YMMV
>
> ciao -- Nando
>
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