Fix calendar advance for unadjusted convention (#1917)

Fix calendar advance for unadjusted convention
lballabio · Feb 28, 2024 · bd7242c · bd7242c
2 parents ea15ebb + 4ed9da4
commit bd7242c
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Showing 3 changed files with 42 additions and 4 deletions.
diff --git a/ql/time/calendar.cpp b/ql/time/calendar.cpp
@@ -159,9 +159,15 @@ namespace QuantLib {
             Date d1 = d + n*unit;
 
             // we are sure the unit is Months or Years
-            if (endOfMonth && isEndOfMonth(d))
-                return Calendar::endOfMonth(d1);
-
+            if (endOfMonth){
+                if (c == Unadjusted && Date::isEndOfMonth(d)){
+                    // move to end of calendar day if using Unadjusted convention and d is last calendar day
+                    return Date::endOfMonth(d1);
+                } else if (isEndOfMonth(d)) {
+                    // move to end of business day if d is last bussiness day
+                    return Calendar::endOfMonth(d1);
+                }
+            }
             return adjust(d1, c);
         }
     }

diff --git a/test-suite/businessdayconventions.cpp b/test-suite/businessdayconventions.cpp
@@ -82,7 +82,7 @@ BOOST_AUTO_TEST_CASE(testConventions) {
         //Unadjusted
         SingleCase(SouthAfrica(), Unadjusted, Date(3,February,2015), Period(1,Months), false, Date(3,March,2015)),
         SingleCase(SouthAfrica(), Unadjusted, Date(3,February,2015), Period(4,Days), false, Date(9,February,2015)),
-        SingleCase(SouthAfrica(), Unadjusted, Date(31,January,2015), Period(1,Months), true, Date(27,February,2015)),
+        SingleCase(SouthAfrica(), Unadjusted, Date(31,January,2015), Period(1,Months), true, Date(28,February,2015)),
         SingleCase(SouthAfrica(), Unadjusted, Date(31,January,2015), Period(1,Months), false, Date(28,February,2015)),
 
         //HalfMonthModifiedFollowing

diff --git a/test-suite/cashflows.cpp b/test-suite/cashflows.cpp
@@ -376,6 +376,38 @@ BOOST_AUTO_TEST_CASE(testIrregularFirstCouponReferenceDatesAtEndOfMonth) {
                     "got " << firstCoupon->referencePeriodStart());
 }
 
+BOOST_AUTO_TEST_CASE(testIrregularFirstCouponReferenceDatesAtEndOfCalendarMonth) {
+    BOOST_TEST_MESSAGE("Testing irregular first coupon reference dates at end of calendar month with end of month enabled...");
+    Schedule schedule =
+        MakeSchedule()
+        .withCalendar(UnitedStates(UnitedStates::GovernmentBond))
+        .from(Date(30, September, 2017)).to(Date(30, September, 2022))
+        .withTenor(6*Months)
+        .withConvention(Unadjusted)
+        .withTerminationDateConvention(Unadjusted)
+        .withFirstDate(Date(31, March, 2018))
+        .withNextToLastDate(Date(31, March, 2022))
+        .endOfMonth()
+        .backwards();
+
+    Leg leg = FixedRateLeg(schedule)
+        .withNotionals(100.0)
+        .withCouponRates(0.01875, ActualActual(ActualActual::ISMA));
+
+    for (const auto& elem : leg) {
+        BOOST_TEST_MESSAGE("Reference Period: " << ext::dynamic_pointer_cast<Coupon>(elem)->referencePeriodStart() << " - " << ext::dynamic_pointer_cast<Coupon>(elem)->referencePeriodEnd());
+        BOOST_TEST_MESSAGE("Amount: " << ext::dynamic_pointer_cast<Coupon>(elem)->amount());
+    }
+
+    ext::shared_ptr<Coupon> firstCoupon =
+        ext::dynamic_pointer_cast<Coupon>(leg.front());
+    if (firstCoupon->referencePeriodStart() != Date(30, September, 2017))
+        BOOST_ERROR("Expected reference start date at end of calendar day of the month, "
+                    "got " << firstCoupon->referencePeriodStart());
+    // Expect first cashflow to be 0.9375
+    BOOST_TEST(firstCoupon->amount() == 0.9375, boost::test_tools::tolerance(0.0001));
+}
+
 BOOST_AUTO_TEST_CASE(testIrregularLastCouponReferenceDatesAtEndOfMonth) {
     BOOST_TEST_MESSAGE("Testing irregular last coupon reference dates with end of month enabled...");
     Schedule schedule =