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Re: [Quantlib-dev] New Calendars
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From: Lecuyer, F. <Fab...@cb...> - 2008-05-13 00:26:19
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Hi all,
I just looked at Bloomberg and they do see those dates only as non settlement dates. However, I still doubt a french bond can settle on the 14 of July (Bastille day) for example. Even Belgium has it's national day as a non-settlement day.
I've never worked in France for a financial institution, but maybe somebody working in France can enlighten me?
Fabrice
-----Original Message-----
From: qua...@li... [mailto:qua...@li...] On Behalf Of Craig, Michael
Sent: Tuesday, 13 May 2008 2:01 AM
To: 'lui...@gm...'
Cc: qua...@li...
Subject: Re: [Quantlib-dev] New Calendars
No - Bloomberg provided those holidays as well but indicated that they were in fact settlement days. The classes which I uploaded provide the dates for which securities do not settle on.
Reason being - we are processing French Bonds and need non-settlement days to properly calc accruals, yield, etcetera... The other holidays Fabrice mentioned are provided in Bloomberg however they are listed as regular settlement days.
-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...]
Sent: Monday, May 12, 2008 11:57 AM
To: Craig, Michael
Cc: qua...@li...
Subject: RE: [Quantlib-dev] New Calendars
On Mon, 2008-05-12 at 11:49 -0400, Craig, Michael wrote:
> The information was sourced from Bloomberg (CDR Command). Would you
> like me to resend the header files or can you add this in?
You mean Bloomberg gave you the errors on the French calendar that Fabrice Lecuyer reported? Makes me wonder how accurate their information is. Before Fabrice's post, I would have taken it at face value.
Is there anyone on the list from Belgium, Greece, or Malaysia? May you check the holidays and see if they are correct?
Thanks,
Luigi
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