QPR-12492 -- Add EndOfMonthConvention to docs and expose the parameter in dates-based Schedule

Author: pcaspers

Docs/UserGuide/tradecomponents/scheduledata.tex

@@ -38,6 +38,7 @@ \subsubsection{Schedule Data (Rules, Dates and Derived)}\label{ss:schedule_data}
                   <Convention>Following</Convention>
                   <Tenor>3M</Tenor>
                   <EndOfMonth>false</EndOfMonth>
+                  <EndOfMOnthConvention>Following</EndOfMOnthConvention>
                   <Dates>
                     <Date>2012-01-06</Date>
                     <Date>2012-04-10</Date>
@@ -129,6 +130,14 @@ \subsubsection{Schedule Data (Rules, Dates and Derived)}\label{ss:schedule_data}
 
 Allowable values: Boolean node, allowing \emph{Y, N, 1, 0, true, false} etc. The full set of allowable values is given in Table \ref{tab:boolean_allowable}. Defaults to \emph{false} if left blank or omitted. Must be set to \emph{false} or omitted if the date generation Rule is set to \emph{CDS} or \emph{CDS2015}.
 
+\item \lstinline!EndOfMonthConvention! [Optional]: Determines the adjustment of the end-of-month schedule dates with regards to the selected calendar.
+This field is only used when \lstinline!EndOfMonth! is true. If left blank or omitted, then the default \lstinline!Preceding! convention is applied
+(i.e.\ end-of-month dates will never be adjusted over to the beginning of the next month)
+
+Allowable values: See Table \ref{tab:convention} Roll Convention.
+
+Allowable values: Boolean node, allowing \emph{Y, N, 1, 0, true, false} etc. The full set of allowable values is given in Table \ref{tab:boolean_allowable}. Defaults to \emph{false} if left blank or omitted. Must be set to \emph{false} or omitted if the date generation Rule is set to \emph{CDS} or \emph{CDS2015}.
+
 \item \lstinline!FirstDate! [Optional]: Date for initial stub period. For date generation rules \emph{CDS} and \emph{CDS2015}, if given, this
   overwrites the first date of the schedule that is otherwise built from IMM dates.
 
@@ -178,6 +187,10 @@ \subsubsection{Schedule Data (Rules, Dates and Derived)}\label{ss:schedule_data}
 
 Allowable values: Boolean node, allowing \emph{Y, N, 1, 0, true, false} etc. The full set of allowable values is given in Table \ref{tab:boolean_allowable}. Defaults to \emph{false} if left blank or omitted.
 
+\item \lstinline!EndOfMonthConvention! [Optional]: Whenever the \lstinline!EndOfMonth! logic is applied, this is used as the roll convention along with the \lstinline!Calendar!for any date adjustments.
+
+Allowable values: See Table \ref{tab:convention} Roll Convention. Defaults to \emph{Preceding} if omitted.
+
 \item \lstinline!Dates!: This is a sub-sub-node and contains child elements of type
   \lstinline!Date!. In this case the schedule dates are determined
   directly by the \lstinline!Date! child elements.  At least two

OREData/ored/portfolio/schedule.cpp

@@ -128,6 +128,7 @@ void ScheduleDates::fromXML(XMLNode* node) {
     tenor_ = XMLUtils::getChildValue(node, "Tenor") == "1T" ? "0D" : XMLUtils::getChildValue(node, "Tenor");
     was1T_ = XMLUtils::getChildValue(node, "Tenor") == "1T" ? true : false;
     endOfMonth_ = XMLUtils::getChildValue(node, "EndOfMonth");
+    endOfMonthConvention_ = XMLUtils::getChildValue(node, "EndOfMonthConvention");
     dates_ = XMLUtils::getChildrenValues(node, "Dates", "Date");
 }
 
@@ -139,6 +140,8 @@ XMLNode* ScheduleDates::toXML(XMLDocument& doc) const {
     XMLUtils::addChild(doc, node, "Tenor", was1T_ ? "1T" : tenor_);
     if (!endOfMonth_.empty())
         XMLUtils::addChild(doc, node, "EndOfMonth", endOfMonth_);
+    if (!endOfMonthConvention_.empty())
+        XMLUtils::addChild(doc, node, "EndOfMonthConvention", endOfMonthConvention_);
     XMLUtils::addChildren(doc, node, "Dates", "Date", dates_);
     return node;
 }