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Stylz
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Joined: May 18th, 2005, 12:14 pm

Clarification of EOM rule for swap curve building

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
 
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Blacksmith
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Joined: June 22nd, 2005, 4:21 pm

Clarification of EOM rule for swap curve building

November 6th, 2006, 6:10 pm

EOM rule... it's been a while since I did this but I believe that the EOM rule is not compounded. So, if we are on the 31st August 6M takes us to 28th Feb, 12M then takes us to 31st August. In other words, it is the first reference day of the month that counts - not the subsequent period end days.Watch out for the EOM convention when you're on the last working day of a month - some EOM conventions state that the EOM rule should apply - others don't.