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

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

Here is an email I received from the BBA. It should resolve the question
about which holiday calendar the BBA are using for the USD.

Simon



Dear Simon,



Okay I see. The BBA follow a set calendar that I have copied below including
the dates for this year and the next for USD LIBOR. Where it states "*ALL*"
this means that it is a UK holiday (and possibly a US holiday as well) and
where it states "*Overnight/spotnext"* is where it is an American public
holiday that does effect LIBOR.



To be honest I cannot guarantee that the below covers all US public
holidays, but I can tell you that if there are any US holidays not in the
below list then they do not affect USD LIBOR.



Does this help any better?



*US Public holidays*

* *





 New Years Day

*All*

Tuesday, January 1, 2008

Thursday, January 1, 2009

 Martin L King's Birthday

*Overnight/Spotnext*

Monday, January 21, 2008

Monday, January 19, 2009

 President's Day

*All*

Monday, February 18, 2008

Monday, February 16, 2009

Good Friday

*All*

21 March 2008

10 April 2009

Easter Monday

*All*

24 March 2008

13 April 2009

Early May Bank Holiday

*All*

05 May 2008

04 May 2009

 Memorial Day

*All*

Monday, May 26, 2008

Monday, May 25, 2009

 Independence Day

*Overnight/Spotnext*

Friday, July 4, 2008

Friday, July 3, 2009

Summer Bank Holiday

*All*

25 August 2008

31 August 2009

 Labor Day

*Overnight/Spotnext*

Monday, September 1, 2008

Monday, September 7, 2009

 Columbus Day

*Overnight/Spotnext*

Monday, October 13, 2008

Monday, October 12, 2009

 Veteran's Day

*Overnight/Spotnext*

Tuesday, November 11, 2008

Wednesday, November 11, 2009

 Thanksgiving Day

*Overnight/Spotnext*

Thursday, November 27, 2008

Thursday, November 26, 2009

 Christmas Day

*All*

Thursday, December 25, 2008

Friday, December 25, 2009

• *December 26, 2007:* BOXING Day

*All*

* *







Kind Regards,

*Peter Denton*

British Bankers' Association (BBA)

*             'The voice of banking & financial services'*


Pinners Hall
105-108 Old Broad Street
London EC2N 1EX - UK
T : +44 (0) 20 7216 8896

E: pet...@bb...
W: www.bba.org.uk