Generating schedules for 29th or 30th of the month

Posted by Chris Higgs on Oct 31, 2013; 5:19pm
URL: http://quantlib.414.s1.nabble.com/Generating-schedules-for-29th-or-30th-of-the-month-tp14636.html

I am building a bridge between Summit and QuantLib and have come across a payment schedule which I believe cannot currently be generated in QuantLib. Basically it has payments to be made on the 29th of each month, but with a settlement/start date not on the 29th. Normally I am passing the firstDate parameter to the Schedule class as the 29th of the relevant month of the first payment. However in my case the first date is in February 2009, so I cannot do this as 29th Feb 2009 is an invalid date. If I pass the 28th Feb, then most of my payments come out on the 28th, and if I set the end of month flag I get typically the 30th/31st, neither of which is correct I believe the same issue arise if payments are supposed to happen on the 30th of the month.

If someone can confirm this is indeed a case not currently handled, then I happy to take a look at the code to see if I can work out a solution which caters for this case, and which would be backwards compatible.

Chris Higgs

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