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

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

On Thu, 2008-10-16 at 16:31 +0100, Simon Ibbotson wrote:
> 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?

It does make sense, but the question is whether it was defined that
way... I guess we'll have to single out a date which is a NYSE holiday
but a valid settlement date and see whether the USD-LIBOR fixed.

Luigi


-- 

The surest way to make a monkey of a man is to quote him. 
-- Robert Benchley