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finmath / finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.
Apache License 2.0
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Implement (and fix) the End-of-Month rule in the ScheduleGenerator. #14

Closed cfries closed 7 years ago

cfries commented 7 years ago

If a start date of a schedule is 29.02, it should be specified if the generator rolls 3M to 29.05 or to 31.05 (END-of-MONTH). Same applied to 30.04, which should go to 31.07 or 30.07 depending on "useEndOfMonth".

cfries commented 7 years ago

Fixed / added in 2.4.0.