Replace start date in schedule #2353
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Create an algorithm to replace the start date in a schedule This handles most cases sensibly Where necessary, schedule generation is used to convert a final stub convention to a last regular end date
| builder.stubConvention(StubConvention.SMART_INITIAL); | ||
| } else if (stubConvention.isFinal()) { | ||
| if (lastRegularEndDate != null) { | ||
| // last regular is set, so the final stub convention can be safely changed |
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I don't follow why the stub convention can be safely changed in this case. The roll day of the last regular end date should be in sync with the roll day of the trade start date.
For example, if I have existing trade with
Start Date: 2021-06-01
End Date: 2026-07-01
Frequency: 6M
Last Regular End Date: 2026-06-01
This gives me a trade with 6M periods and a 1M stub at the end.
If I then come along and change the start date to 21-06-15 using this method I am left with what looks like an inconsistent trade definition
Start Date: 2021-06-15
End Date: 2026-07-01
Frequency: 6M
Last Regular End Date: 2026-06-01
Stub Convention: Smart Initial
So the presence of a Last Regular End date that is different to the trade end date implies a back stub.
But we are then explicitly saying this trade has an initial stub
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Smart initial has been changed to cope with this. The smart stub conventions now respect any first or last regular date, and apply themselves to the remaining period.
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Ok so SmartInitial can actually result in a trade with both a front and back stub?
Not the most intuitive but we're in to real edge case territory here anyway, so I agree the behaviour here is sensible enough
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Yes, SmartInitial and SmartFinal now have reasonable behavour for a use case that previously threw an exception.
Create an algorithm to replace the start date in a schedule. This handles most cases sensibly.
Where necessary, schedule generation is used to convert a final stub convention to a last regular end date.