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Martin Sjogrenjenkins
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Docs: added that 1T is a valid value for Tenor in rules based schedules, with same effect as 0D
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Docs/UserGuide/tradecomponents/scheduledata.tex

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@@ -104,7 +104,7 @@ \subsubsection{Schedule Data (Rules, Dates and Derived)}\label{ss:schedule_data}
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\emph{M} or \emph{Y}. The characters before that must be a positive integer. \\ \emph{D}
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$=$ Day, \emph{W} $=$ Week, \emph{M} $=$ Month, \emph{Y} $=$ Year
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Note that \emph{0D} is a valid value, and causes there to be no intermediate dates between \lstinline!StartDate! and \lstinline!EndDate!.
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Note that \emph{0D} and \emph{1T} are equivalent valid values, and both cause there to be no intermediate dates between \lstinline!StartDate! and \lstinline!EndDate!.
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\item \lstinline!Calendar!: The calendar used to generate schedule dates. Also used to determine payment dates (except for compounding OIS index legs, which use the index calendar to determine payment dates).
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Docs/UserGuide/tradecomponents/zerocouponleg.tex

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@@ -5,7 +5,7 @@ \subsubsection{ZeroCouponFixed Leg Data}
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Listing \ref{lst:zerolegdata} shows an example for a leg of type Zero Coupon Fixed.
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To create a leg with only one payment, the schedule must only contain the start and end date. Note that this can be achieved by setting the \emph{Tenor} to \emph{0D} in a rules based Schedule.
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To create a leg with only one payment, the schedule must only contain the start and end date. Note that this can be achieved by setting the \emph{Tenor} to \emph{0D} or \emph{1T} in a rules based Schedule.
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Note that the DayCounter in a Zero Coupon Fixed leg is used to compute $t$ in $(1+r)^t$ so that the series of zero coupon payments are calculated as $(1 + r)^t \,N$. For all other leg types, the DayCounter is used to compute the “Accrual” (i.e. the accrual time period of a coupon) in a coupon payment calculated as: $N * Accrual * r$. However, the “Accrual” in the coupon formula is defaulted to 1 for the Zero Coupon Fixed leg type.
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