Posted by
Luigi Ballabio on
Feb 08, 2011; 8:12am
URL: http://quantlib.414.s1.nabble.com/Schedule-is-this-expected-tp8983p8984.html
On Mon, 2011-02-07 at 17:16 -0500, Luca Billi wrote:
> this code:
>
> Schedule schedule(Date(30, Sep, 2010),
> Date(28, Feb, 2011),
> 1*Months,
> TARGET(),
> Following,
> Following,
> DateGeneration::Backward,
> true);
>
> generates these dates:
>
> 2010-09-30
> 2010-10-29 <----- Here I'd have expected 2010-11-01 instead
> 2010-11-30
> 2010-12-31
> 2011-01-31
> 2011-02-28
>
> When endOfMonth == true, Following doesn't apply but rather ModifiedFollowing.
> Is this the intended behavior?
End-of-month says that the schedule should generate dates on the last
business day of the month, and as such overrides business-day
convention.
Luigi
--
Poets have been mysteriously silent on the subject of cheese.
-- Gilbert K. Chesterton
------------------------------------------------------------------------------
The ultimate all-in-one performance toolkit: Intel(R) Parallel Studio XE:
Pinpoint memory and threading errors before they happen.
Find and fix more than 250 security defects in the development cycle.
Locate bottlenecks in serial and parallel code that limit performance.
http://p.sf.net/sfu/intel-dev2devfeb_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev