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Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks

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Bug in Roll Convention MODIFIED_FOLLOWING_EOM

FuggeWolf opened this issue · comments

commented

Sometimes the roll convention doesn't derive the correct end date:

  • start date 29-Apr-2022 (Friday), period 1 month, end date: 31-May-2022 (Tuesday).
    30-Apr-2022 is a Saturday, so 29-Apr-2022 is the last business day of the month.
    Unexpected result: 30.05.2022
  • start date 28-Feb-2020 (Friday), period 1 month, end date: 31-Mar-2020 (Tuesday).
    Though 2020 is a leap year, the 28-Feb-2020 is the last business day of the month.
    Unexpected result: 30.03.2020
commented

diese Konvention kann nun nicht mehr ausgewählt werden, da sie entfernt wurde