October 12th, 2006, 4:55 pm
Quick question for programming the EOM rule in a date generator for a swap zero curve builder.In programming the EOM rule:1. It is obvious how this rule works if you are in Feb (28 or 29 as last day)2. It is obvious how this rule works if I am on the 30th of Apr, Jun, Sep, Nov and am headed to a month with 30 days (either "No" or "Yes" give the same result)3. It is obvious how this rule works if I am on the 30th of Apr, Jun, Sep, Nov and am headed to a month with 31 daysIt is not obvious to me how the rule works If I am on the last day of a given month with N days and I'm going to a month with M days where M < N; do I always end up on the Mth day of the destination month regardless of whether the rule is "No" or "Yes"Your help is much appreciated.Rgds