Bugs item #2902185, was opened at 2009-11-22 23:06
Message generated for change (Comment added) made by lballabio
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902185&group_id=12740Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: boris l (blitvin)
Assigned to: Nobody/Anonymous (nobody)
Summary: date schedule is incorrect with EndOfMonth=true
Initial Comment:
When date schedule is generated with Convention=Unadjusted and EndOfMonth=TRUE it incorrectly handles end of months. Please see attached spreadsheet as example. It also inocrrectly handles EOM with other conventions (MP,MF). I can be reached at
[hidden email]. Thanks a lot - Boris.
----------------------------------------------------------------------
Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-07 17:43
Message:
Also, for additional safety: may you add to the spreadsheet the expected
correct dates for Unadjusted + EOM? (And possibly also for MP and MF, since
you're reporting that they're wrong too.)
----------------------------------------------------------------------
Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-07 17:33
Message:
Two suggestions: a quick fix might be to check for Unadjusted convention at
the end of the Schedule constructor (where it says "// adjustments") and
prevent adjustments from happening.
Another would be to check for EOM = true and adjust the behavior
explicitly.
----------------------------------------------------------------------
Comment By: Luigi Ballabio (lballabio)
Date: 2009-12-07 17:07
Message:
Sorry, but since QuantLib is based on volunteer work these issues are
addressed when time allows.
Your best option is to examine the C++ source code (in
<ql/time/schedule.cpp>, see what's happening, and try to fix the logic.
----------------------------------------------------------------------
Comment By: boris l (blitvin)
Date: 2009-12-07 15:31
Message:
we are stuck with this problem in real deadline sensitive project. please
advise what my options are. thanks a lot in advance for expedient response.
----------------------------------------------------------------------
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902185&group_id=12740------------------------------------------------------------------------------
Return on Information:
Google Enterprise Search pays you back
Get the facts.
http://p.sf.net/sfu/google-dev2dev_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
