The FixedWindowRollingPolicy class does not have the same behavior between compressed file and uncompressed file.
Indeed, if missing, the target directory is created for uncompressed file (through the util.rename method call at line 128)

      // move active file name to min
      switch (compressionMode) {
      case NONE:
        util.rename(getActiveFileName(), fileNamePattern
            .convertInt(minIndex));
        break;
      case GZ:
      case ZIP:
        compressor.compress(getActiveFileName(), fileNamePattern.convertInt(minIndex));
        break;

Missing directories are not created for rolling files using compression.
So could you please add this feature to be in phase with uncompressed rolling file ?

Regards

Antoine