It rarely happens, as the coupon dates for all bonds of this country is limited to certain dates. I notice it happened in 2022 Sep 10, a Sat, 9th was public holiday, coupon is scheduled to be paid on 12th, next good business day.
From: Francois Botha [mailto:[hidden email]]
Sent: Thursday, 5 March 2015 7:24 PM
To: lucy king
Cc: Luigi Ballabio; Peter Caspers; QuantLib users; Cheng Li
Subject: Re: [Quantlib-users] 答复: Bussiness day convention
How is the payment date adjusted if the original date is the middle of three non business days? Would one default to following or preceding business day?
On 05 Mar 2015 1:14 PM, "lucy king" <[hidden email]> wrote:
Hi all,
Thank you for all for your inputs. Ideally I could find a clean solution. Never tried developing its library, do you mean I need to change at quantlib code level? Then how could I apply it in excel?
Below is one example for such business day convention.
Korea 20y govt bond.
Type Fixed
Cpn Freq S/A
Day Cnt ACT/ACT
Maturity 12/10/2033
BULLET
Announcement Date 11/28/2013
Interest Accrual Date 12/10/2013
1st Settle Date 12/24/2013
1st Coupon Date 06/10/2014
Below are payments dates for this bond:
10/6/2015
10/12/2015
10/6/2016
9/12/2016
9/6/2017
11/12/2017
11/6/2018
10/12/2018
10/6/2019
10/12/2019
10/6/2020
10/12/2020
10/6/2021
10/12/2021
10/6/2022
9/12/2022
9/6/2023
11/12/2023
10/6/2024
10/12/2024
10/6/2025
10/12/2025
10/6/2026
10/12/2026
10/6/2027
10/12/2027
9/6/2028
11/12/2028
11/6/2029
10/12/2029
10/6/2030
10/12/2030
10/6/2031
10/12/2031
10/6/2032
10/12/2032
10/6/2033
9/12/2033
Best regards,
Laura
-----Original Message-----
From: Peter Caspers [mailto:[hidden email]]
Sent: Thursday, 5 March 2015 5:48 PM
To: Luigi Ballabio
Cc: Cheng Li; QuantLib users
Subject: Re: [Quantlib-users] 答复: Bussiness day convention
Hi Laura,
do you have a term sheet for that bond you could send or some reference to an official documentation for that rolling convention ?
Just out of curiosity (and as a basis for a possible later implementation in ql of course ...) Peter
On 5 March 2015 at 09:35, Luigi Ballabio <[hidden email]> wrote:
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