firstDate and terminationDate in ql/time/schedule.cpp

[Pascal Haakmat]

Dear list,

A quick question regarding
https://github.com/lballabio/quantlib/blob/master/QuantLib/ql/time/schedule.cpp:

Lines 137-141 contain the following code:

                QL_REQUIRE(firstDate_ > effectiveDate &&
                           firstDate_ < terminationDate,
                           "first date (" << firstDate_ <<
                           ") out of effective-termination date range [" <<
                           effectiveDate << ", " << terminationDate << ")");

However, it seems that the condition should be firstDate_ >
effectiveDate && firstDate_ <= terminationDate. Otherwise it is not
possible to have a first (and only) coupon fall on maturity. The use of
")" and "]" in the error message also seems to suggest that this should
be the case, when compared to lines 165-169, where a similar check is
performed for nextToLastDate_.

Is there a reason why this condition is exclusive rather than inclusive
wrt terminationDate?

Thanks,
Pascal


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[Luigi Ballabio]

Hi Pascal,

    for a single coupon on maturity I would use no first date and DateGeneration::Zero as the rule. That combination doesn't perform the check above.

If that doesn't work, do you have a test case and its expected output?

Luigi

On Tue, Jul 14, 2015 at 5:56 PM Pascal Haakmat <[hidden email]> wrote:

Dear list,

A quick question regarding
https://github.com/lballabio/quantlib/blob/master/QuantLib/ql/time/schedule.cpp:

Lines 137-141 contain the following code:

                QL_REQUIRE(firstDate_ > effectiveDate &&
                           firstDate_ < terminationDate,
                           "first date (" << firstDate_ <<
                           ") out of effective-termination date range [" <<
                           effectiveDate << ", " << terminationDate << ")");

However, it seems that the condition should be firstDate_ >
effectiveDate && firstDate_ <= terminationDate. Otherwise it is not
possible to have a first (and only) coupon fall on maturity. The use of
")" and "]" in the error message also seems to suggest that this should
be the case, when compared to lines 165-169, where a similar check is
performed for nextToLastDate_.

Is there a reason why this condition is exclusive rather than inclusive
wrt terminationDate?

Thanks,
Pascal


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