I have a production trade that is using both firstRegularPeriodStartDate and stubPeriodType=ShortInitial
I would expect in this case that there will be a roll backwards, but apparently this is not the case.
This is the error I’m getting;
“Error when invoking function ‘SwapTradeCalculationFunction’: Date ‘2015-10-05’ does not match roll convention ‘Day4’ when starting to roll forwards”
It seems that setting explicit stub overrides the definition of stub period. Is it possible to set both?