Feature Requests item #1469488, was opened at 2006-04-12 13:12
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Category: None
Group: None
Status: Open
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Unadjusted month end business day convention
Initial Comment:
There is no business day convention available that
conforms to the convention of the US 2 year treasury
note - which is the last day of the month unadjusted
for weekends or holidays.
I corrected this for myself by adding
UnadjustedMonthEnd to the BusinessDayConvention and
changing the Calendar::adjust function by replacing:
if (c == Unadjusted)
return d;
with:
if(c == UnadjustedMonthEnd && origin != Date() &&
isEndOfMonth(origin))
return Date::endOfMonth(d);
if (c == Unadjusted || c == UnadjustedMonthEnd)
return d;
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