finmath/finmath-lib

Implement (and fix) the End-of-Month rule in the ScheduleGenerator.

cfries opened this issue · 1 comments

cfries commented

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

Fixed / added in 2.4.0.