I’m getting an error when trying to build a swap, with a roll date of 29 or 30, where February is a scheduled month.
“FAIL: Date ‘2015-02-28’ does not match roll convention ‘Day30’ when starting to roll forwards”
I’m not clear on the rules for MODFOLLOW here. Feb 27 is the last business day, though I think the accrual schedule needs to be built with unadjusted dates, to avoid stub problems.
I’ve come up short on any reference that talks about the interaction of roll and bus day adjustments.
Thanks for any help,