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

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

Thanks! Bloomberg shows USD-Libor for last Monday (and the previous
Thursday). However, it also shows USD-Libor fixings for the 4th of July (a
holiday for everyone in the US) - confirming that the USD-Libor fixing
calendar is only dependent upon the London holiday calendar.


However, the settlement date for the underlying USD deposit will be
affected.
Therefore, the USD-Libor rate on Wed 2nd July will be based upon a depo
placed on Monday 7th July (rather than Friday 4th July).

This still leaves it ambiguous whether the value date (settlement date) for
the underlying depo fixed on Thursday 9th October was on the 13th October (a
valid settlement date) or on the 14th October (a valid NYSE date).


Simon

PS The O/N, S/N rates fixing dates ARE also dependent upon the calendar of
the major financial centre of the currency concerned.


On Tue, Oct 21, 2008 at 5:45 PM, snovik <sn...@gm...> wrote:

>
> 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
> >
> >
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