FRA payment dates not alway correctly adjusted #1301

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jodastephen opened this Issue Aug 23, 2016 · 0 comments

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jodastephen commented Aug 23, 2016

The existing logic to create a FRA from a convention performs business day adjustment incorrectly. This could result in payment on a holiday.

At trade creation, the start and end dates should be determined and adjusted. The payment date offset should be applied to the adjusted start date. The FRA product should then be created using the adjusted start date, the adjusted end date and the adjusted payment date.

During resolving/pricing, the start and end dates should not be further adjusted. The payment date should retain the ability to be re-adjusted in case an additional holiday has been added.

See http://forums.opengamma.com/t/fra-present-value-calculation-possible-bug/586

@jodastephen jodastephen added this to the v1.1 milestone Aug 23, 2016

@jodastephen jodastephen self-assigned this Aug 23, 2016

jodastephen added a commit that referenced this issue Aug 23, 2016

Fix FRA date conventions
Start and end date should be adjusted when trade is created, not later
Payment date should be offset and adjusted when trade is created
Payment date should be re-adjusted when resolved
Fixes #1301

jodastephen added a commit that referenced this issue Aug 23, 2016

Fix FRA date conventions
Start and end date should be adjusted when trade is created, not later
Payment date should be offset and adjusted when trade is created
Payment date should be re-adjusted when resolved
Fixes #1301

yukiiwashita added a commit that referenced this issue Aug 23, 2016

Fix FRA date conventions (#1303)
Start and end date should be adjusted when trade is created, not later
Payment date should be offset and adjusted when trade is created
Payment date should be re-adjusted when resolved
Fixes #1301
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