Schedule Generation

Financial contracts (swaps, bonds, loans) require precise coupon payment and accrual date schedules. SabiQuant’s ScheduleBuilder implements the full ISDA schedule algorithm.

Generation Options

A schedule is generated between an effective date and a termination date:

• Tenor: Step interval (e.g. 3M, 6M, 1Y).
• Calendar & Adjustment: Rolls holiday dates forward/backward.
• Stub Conventions:
  • ShortFront / LongFront: Short or long first coupon period.
  • ShortBack / LongBack: Short or long final coupon period.
• Roll Conventions:
  • EndOfMonth: Rolls to the last calendar day if effective date is at month end.
  • IMM: Rolls to International Monetary Market dates (3rd Wednesday of March, June, September, December).

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Rust Code Example

use sabiquant::core::{Date, Period, TimeUnit, Frequency, BusinessDayConvention};
use sabiquant::core::calendars::TargetCalendar;
use sabiquant::schedules::{ScheduleBuilder, StubConvention};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let effective_date   = Date::from_ymd(2025, 2, 15)?;
    let termination_date = Date::from_ymd(2028, 8, 15)?;

    let calendar = TargetCalendar::default();

    // 6-month coupon schedule with Short Front stub
    let schedule = ScheduleBuilder::new()
        .effective_date(effective_date)
        .termination_date(termination_date)
        .tenor(Period::new(6, TimeUnit::Months))
        .calendar(calendar)
        .convention(BusinessDayConvention::ModifiedFollowing)
        .termination_convention(BusinessDayConvention::ModifiedFollowing)
        .stub_convention(StubConvention::ShortFront)
        .end_of_month(false)
        .build()?;

    println!("Schedule contains {} dates:", schedule.len());
    for (i, date) in schedule.dates().iter().enumerate() {
        println!("  Period {}: {}", i, date);
    }

    Ok(())
}