I'm trying to price a non-standard swap. However, my schedule is not returning the correct dates. In particular, the effective date starts on a Saturday but the schedule returns the next biz date which is a Monday. I need to accrual to start on the effective date without adjustment. How can I tell the schedule object to not do that?
Below is my code.
fixed_leg_schedule = ql.Schedule( ql.Date(26, ql.September, 2020), ql.Date(25, ql.September, 2026), ql.Period('1M'), ql.UnitedStates(), ql.ModifiedFollowing, ql.ModifiedFollowing, ql.DateGeneration.Backward, False, ql.Date(15, ql.October, 2020), ql.Date(15, ql.September, 2026) )
The 26th of Sept. 2020 is a Saturday, but the schedule returns 28th.