Rolling: when a date doesn't exist — From Zero to the Curve

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Worked examples

Read the claim, then run it and check the machine agrees. One at a time — nothing here is taken on trust.

Example 1 of 3 Three conventions, one Sunday

example.py

import QuantLib as ql

target = ql.TARGET()
d = ql.Date(31, 5, 2026)   # a Sunday
for name, conv in (("Following", ql.Following),
                   ("ModifiedFollowing", ql.ModifiedFollowing),
                   ("Preceding", ql.Preceding)):
    print(f"{name:18} -> {target.adjust(d, conv).ISO()}")

Following crosses into June; MF sees that the next business day (1 June) would change the month and rolls back to Friday 29 May instead; Preceding goes there directly. Same contract dates, same calendar — up to three different payment days, and up to three different accrual amounts. The contract names one of these; your code implements it exactly.

Example 2 of 3 MF earns the 'modified'

example.py

import QuantLib as ql

target = ql.TARGET()
sat = ql.Date(31, 1, 2026)    # month-end Saturday
sun = ql.Date(30, 8, 2026)    # a Sunday with August room to spare
print("31 Jan:  F ->", target.adjust(sat, ql.Following).ISO(),
      "  MF ->", target.adjust(sat, ql.ModifiedFollowing).ISO())
print("30 Aug:  F ->", target.adjust(sun, ql.Following).ISO(),
      "  MF ->", target.adjust(sun, ql.ModifiedFollowing).ISO())

At the January month-end, F escapes to 2 February and MF refuses, rolling back to Friday the 30th — a three-day payment difference on the same date. But on 30 August, both answer Monday the 31st: the next business day stays inside August, so the 'modified' clause never fires. MF is not "always earlier" — it's F with a month-boundary tripwire.

Example 3 of 3 The end-of-month flag moves four days

example.py

import QuantLib as ql

target = ql.TARGET()
feb27 = ql.Date(27, 2, 2026)
print("last business day of its month?", target.isEndOfMonth(feb27))
print("+1M, EOM=True: ", target.advance(feb27, ql.Period(1, ql.Months), ql.ModifiedFollowing, True).ISO())
print("+1M, EOM=False:", target.advance(feb27, ql.Period(1, ql.Months), ql.ModifiedFollowing, False).ISO())

With EOM, "one month after the last business day of February" means "the last business day of March" — the 31st. Without it, plain day-of-month arithmetic gives the 27th. Four days of accrual on every period of the schedule, controlled by one boolean that the trade confirmation does specify and rushed implementations do skip.

Check the concept

One question at a time. Unsure? Revisit the lecture, then answer.

Question 1 of 4

Modified Following differs from Following exactly when…

the next business day falls in a different month the date is a Sunday the calendar has a holiday that week never — MF is just Following's formal name

The challenge

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