Re: [Quantlib-dev] CdsHelper issues

[Luigi B. <lui...@gm...>]

On Sun, 2008-06-29 at 16:25 +0100, Simon Ibbotson wrote:
> Okay - I'll write a patch to cover these issues.

Thanks--"these issues" being the start and end of the cover. As for the
20th convention, I've fixed that in the repository; you can now build
the schedule with the relevant convention (or pass the convention to the
CDS helper.) You might want to check my implementation to see that it
works correctly.

Luigi


> 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.
> >
> >
> >
> 

-- 

A little inaccuracy sometimes saves tons of explanation. 
-- H.H. Munro, "Saki"