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

[snovik <sn...@gm...>]

easy, though the other way round: 13.10.2008 - business day for NYSE but
holiday for Settlement



Luigi Ballabio wrote:
> 
> 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 
> 
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