Fix calendar advance for unadjusted convention #1917
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ql/time/calendar.cpp
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| if (endOfMonth && isEndOfMonth(d)) | ||
| return Calendar::endOfMonth(d1); | ||
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| if (endOfMonth && isEndOfMonth(d)){ |
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Should this use Date::isEndOfMonth() when the convention is Unadjusted?
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Yes, this is better, fixed
| @@ -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)), | |||
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@igitur it's been a long time, but git tells me you wrote this test — do you think it makes sense to change the result?
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@lballabio Hi, yes, the fix looks correct. I probably used QuantlibXL to generate test data for the existing business day conventions, thereby including the bug in the test data. Sorry.
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This PR resolves #1910
In Calendar::advance(), the return date will be moved to end of business day if endOfMonth && isEndOfMonth(d) is True. However, isEndOfMonth(d) is True when d is on or after the end of business day, which introduces a discrepancy between d and the return date.
This PR fixes this behavior by returning the end of calendar date when convention is Unadjusted.
I added a unit test to ensure this behaves correctly for a US treasury bond. The ref start date should be end of calendar date and the cashflow should match the real-world cashflow.