http://quantlib.414.s1.nabble.com/Schedule-end-of-month-business-day-convention-tp15402p15407.html
Right, this case is not covered. You're giving a nice workout to
Schedule... I'm starting to think that we should have a number of
> If I use end-of-month = false, then the dates generated will be either 30
> March (not 31) and 30 September, right? Maturity date is 30 September 2021
> in this case.
>
> Francois Botha
>
>
> On 6 June 2014 11:19, Luigi Ballabio <
[hidden email]> wrote:
>>
>> In this case you wouldn't use end-of-month = true.
>>
>> On Fri, Jun 6, 2014 at 11:16 AM, Francois Botha <
[hidden email]> wrote:
>> > 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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>> >>
>> >>
>> >>
>> >> --
>> >> <
https://implementingquantlib.blogspot.com>
>> >> <
https://twitter.com/lballabio>
>> >
>> >
>>
>>
>>
>> --
>> <
https://implementingquantlib.blogspot.com>
>> <
https://twitter.com/lballabio>
>
>
applications. Written by three acclaimed leaders in the field,
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