From: SourceForge.net <no...@so...> - 2005-04-01 15:03:05
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Bugs item #1173431, was opened at 2005-03-30 18:12 Message generated for change (Comment added) made by lballabio You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1173431&group_id=12740 Category: None Group: None >Status: Closed >Resolution: Fixed Priority: 5 Submitted By: Daniele De Francesco (qq7te) Assigned to: Luigi Ballabio (lballabio) Summary: wrong calendar for USDLibor Initial Comment: I have noticed that the USDLibor class, even in QL 0.3.8, has UnitedStates::Exchange as the calendar. I do believe that the correct calendar is the UK::Exchange since the fixing happens in London and you can see that the index is computed on thanksgiving, labour day and so on, which I think is proof that it's not on any US calendar. ---------------------------------------------------------------------- Comment By: Luigi Ballabio (lballabio) Date: 2005-04-01 17:03 Message: Logged In: YES user_id=75450 The bug is now fixed in CVS. Thank you for the report. ---------------------------------------------------------------------- Comment By: Luigi Ballabio (lballabio) Date: 2005-04-01 12:54 Message: Logged In: YES user_id=75450 Daniele, I think you're right. Is there any other Libor in the library whose calendar should be fixed? Luigi ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1173431&group_id=12740 |