Re: [Quantlib-dev] BUG: wrong calendar for USD Libor ON fixing

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

On Wed, 2008-10-15 at 07:40 -0700, snovik wrote:
> Of course, I might be wrong but to my knowledge USD Libor fixings are based
> on the US public holidays (i.e. settlement calendar) and not NYSE calendar.

Hmm. I've checked the official Euribor page at
<http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412> and it talks
about business days "in the principal financial centre of the currency
concerned". Any expert here that can say a final word?

Luigi


-- 

There is no likelihood man can ever tap the power of the atom. 
-- Robert Millikan, Nobel Prize in Physics, 1923