my question is two fold and if the legend Luigi answers this question it would make my day.

  1. what is the purpose of this endofMonth boolean in the depoit or fra or swap helper functions.

  2. what is the correct input to this function when creating yield curves. is it passing in the date of the data t or t+2?


1 Answer 1


Consider an effective start date of June 30, 2021, and you want to add a tenor of "1-month" to it. Should it be July 30, 2021 or July 31, 2021? This is where the "end-of-month rule" is needed. If end-of-month rule is true, then 1-month later is July 31, 2021; otherwise, 1-month later is July 30, 2021.

Whether it should be true or false depends on the market. The US Treasury market uses true as its convention, but many swap markets use false.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.