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Fix calendar advance for unadjusted convention #1917

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merged 4 commits into from
Feb 28, 2024
Merged

Fix calendar advance for unadjusted convention #1917

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a338de4
fix irregular first date with eom true, add test
DeimosXing Feb 17, 2024
108de59
fix bug, add test for date and cashflow
DeimosXing Feb 21, 2024
cddfec4
fix lint; fix businessday convention unadjusted case
DeimosXing Feb 23, 2024
4ed9da4
check if end of calendar day before moving
DeimosXing Feb 26, 2024
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12 changes: 9 additions & 3 deletions ql/time/calendar.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -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);
}
}
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2 changes: 1 addition & 1 deletion test-suite/businessdayconventions.cpp
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Expand Up @@ -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.

SingleCase(SouthAfrica(), Unadjusted, Date(31,January,2015), Period(1,Months), false, Date(28,February,2015)),

//HalfMonthModifiedFollowing
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32 changes: 32 additions & 0 deletions test-suite/cashflows.cpp
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Expand Up @@ -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 =
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