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Date Generation

Posted by James Battle on Aug 18, 2002; 2:18am
URL: http://quantlib.414.s1.nabble.com/Date-Generation-tp2132.html

Toy,
 
Good point.  Of course it's worth mentioning though, that this all depends
on the frequency!  because say with 3M, 6M or 1Y roll, there WILL be stub
dates, both at start and end (or both) even with EOM.  And of course, the
case with stubs at start and end become a bit trickier.
 
To be useful in general, it would also have to handle the roll conventions
(ISDA terminology here) for which holiday calendars are needed even for
the unadjusted (theoretical) dates; i.e. US Treasury, Floating Rate Notes,
Canadian Bourse MM etc.
 
James B.