Re: Schedule end of month business day convention

Posted by igitur on Jun 06, 2014; 9:16am
URL: http://quantlib.414.s1.nabble.com/Schedule-end-of-month-business-day-convention-tp15402p15404.html

Yes, that is what I want.

This specific bond pays coupons on 31 March and 30 September each year, and if those days fall on a non-business day, the next business day is used. So instead 2017-09-30 falls on a Saturday, so the coupon will pay on 2017-10-02.

I understood that I could use 'Following' instead of 'Modified Following' if I want to allow crossing over to the next month.

Francois Botha

On 6 June 2014 11:01, Luigi Ballabio <[hidden email]> wrote:

You want the last business day of the month, so you take the last day
of the month and adjust it backwards. If you adjusted it forward,
you'd get the first business day of the following month instead.

Luigi

On Fri, Jun 6, 2014 at 10:56 AM, Francois Botha <[hidden email]> wrote:
> Hi,
>
> In schedule.cpp, lines 349 - 355:
>
>             if (convention == Unadjusted) {
>                 for (Size i=1; i<dates_.size()-1; ++i)
>                     dates_[i] = Date::endOfMonth(dates_[i]);
>             } else {
>                 for (Size i=1; i<dates_.size()-1; ++i)
>                     dates_[i] = calendar_.endOfMonth(dates_[i]);
>             }
>
> And calendar.hpp: lines 207-209:
>
>     inline Date Calendar::endOfMonth(const Date& d) const {
>         return adjust(Date::endOfMonth(d), Preceding);
>     }
>
> This is applicable when the endOfMonth rule is true. If the business day
> convention is Unadjusted, it works fine, but if the business day convention
> is e.g. Modified Following, the second part of the code is executed. But
> calendar_.endOfMonth is hardcoded to use Preceding. The actual business day
> convention isn't passed through. Is this a bug or maybe I don't understand
> something?
>
> regards
> Francois Botha
>

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