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

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

I know there are days when the banks in NY are open for settlement purposes
but the NYSE is closed.
Therefore a USD depo could be placed on a day when the NYSE is closed - so
the value date of the USD-Libor should be based upon NY settlement dates not
exchange dates.

Make sense?

Simon


On Thu, Oct 16, 2008 at 4:01 PM, Luigi Ballabio <lui...@gm...>wrote:

> 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
>
>
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