Re: [Quantlib-dev] CdsHelper issues

[Simon I. <s.i...@gm...>]

Okay - I'll write a patch to cover these issues.



On 6/27/08, Luigi Ballabio <lui...@gm...> wrote:
> Simon,
> 	as for this one:
>
> On Fri, 2008-06-06 at 14:12 +0100, Simon Ibbotson wrote:
>> The standard market convention for CDS is that the default cover (and
>> accrual) starts on the day after the valuation date - regardless of
>> whether the start day is a holiday/weekend or not... currently the
>> CdsHelper class counts only working days as valid.
>
> I'm not sure I follow. May you write a patch for this?
>
> Luigi
>
>
> --
>
> Zawinski's Law:
> Every program attempts to expand until it can read mail. Those
> programs which cannot so expand are replaced by ones which can.
>
>
>

-- 
Sent from Gmail for mobile | mobile.google.com