Bugs item #2902185, was opened at 2009-11-22 23:06
Message generated for change (Comment added) made by lballabio
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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.
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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.
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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.
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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.
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