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QuantLib End-of-Month Handling with the Unadjusted Convention

Article Quant Q&A · Author: Alessandro Ruo Bernucchio
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Summary

The document describes a QuantLib date-advancement behavior involving the end-of-month flag and the Unadjusted business-day convention. In the example, advancing one month from May 31 with a Target calendar and end-of-month enabled produces June 28, rather than June 30. The question is whether the calendar adjustment is expected when the selected convention is Unadjusted, which would ordinarily leave the arrival date unadjusted.

QuantLib’s maintainer replies that this behavior was unintended and had recently been fixed, with the fix slated for a future release. The answer clarifies the reported behavior but provides no implementation details, version comparison, or broader testing evidence. Users applying end-of-month logic should therefore consider the library version and check the relevant release notes; the example alone does not establish behavior for all calendars or date conventions.

Key ideas

  • The reported case combines a Target calendar, end-of-month advancement, and the Unadjusted convention.
  • The example advances May 31 to June 28 instead of June 30.
  • The maintainer identifies the behavior as unintended and says it was fixed for a later release.
  • The brief response does not describe the implementation or establish behavior across other configurations.

Tags

Fixed incomeDerivatives pricingStatistics
Full text
# Is End of Month (Eom) Rule overrides Unadjusted convention rule in Quantlib?


# Is End of Month (Eom) Rule overrides Unadjusted convention rule in Quantlib?












Concerning the post Is End of Month (Eom) Rule overrides convention rule in Quantlib Schedule? I noticed that with Unadjusted convention has the same behavior. Is this wanted?

For example, with Target Calendar I want to advance 1 month with end of month rule True and Business Day convention Unadjusted from 31 May 2024. The date is shifted to 28 June 2024, instead of 30 June 2024, but in this case I did not ask that the arrival date is a working day.

## Answer by Luigi Ballabio (score 2)

https://quant.stackexchange.com/a/78645

That wasn't wanted. It was fixed recently in https://github.com/lballabio/QuantLib/pull/1917, which will be included in the 1.34 release out in April 2024.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.