Explicit final stub issue

Strata
1

I get a following exception at times:

Exception thrown:
com.opengamma.strata.basics.schedule.ScheduleException: Dates specify an explicit final stub, but stub convention is 'ShortInitial’
at com.opengamma.strata.basics.schedule.StubConvention$2.toImplicit(StubConvention.java:89)
at com.opengamma.strata.basics.schedule.PeriodicSchedule.generateImplicitStubConvention(PeriodicSchedule.java:560)
at com.opengamma.strata.basics.schedule.PeriodicSchedule.generateUnadjustedDates(PeriodicSchedule.java:546)
at com.opengamma.strata.basics.schedule.PeriodicSchedule.createSchedule(PeriodicSchedule.java:416)
at com.opengamma.strata.product.bond.FixedCouponBond.resolve(FixedCouponBond.java:167)

Failure input examples:
could not resolve fixed bond 2015-03-05, 2055-02-26, 2017-10-05
could not resolve fixed bond 2012-11-29, 2019-11-29, 2017-10-05
could not resolve fixed bond 2009-06-08, 2019-06-28, 2017-10-05

My code is as follows:

	BusinessDayAdjustment businessDayAdj =
		    BusinessDayAdjustment.of(BusinessDayConventions.MODIFIED_FOLLOWING, HolidayCalendarIds.USNY);
	PeriodicSchedule accrualSchedule = PeriodicSchedule
			.builder()
			.startDate(issueDate)
			.endDate(maturityDate)
			.lastRegularEndDate(maturityDate)
			.businessDayAdjustment(businessDayAdj)
			.frequency(Frequency.P6M)
			.stubConvention(StubConvention.SHORT_INITIAL)
			.rollConvention(RollConventions.EOM)
			.build();

Any clarification or guidance would be much appreciated, thanks.

2

(moved to the Strata category)

Can you be more precise about the input values that fail? I can’t connect the dates you’ve specified to the startDate, endDate etc.

The error basically means that lastRegularEndDate cannot be set with stubConvention = SHORT_INITIAL. The two are in conflict. Usually you specify one or the other. See also this documentation page.

Stephen

3

Hi Stephen,

Yes, apologies for my dates vagueness. The following is the order: issueDate, maturityDate and tradeDate. Although, the trade date doesn’t matter since I fail while creating the PeriodicSchedule object.

Thanks,
Nikola

4

Can you just leave out the lastRegularEndDate part of the builder? That should get you the answer you want.

5

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