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

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

On Thu, 2008-10-23 at 10:22 +0100, Simon Ibbotson wrote:
> 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.

Ok... so it seems to be the other way around---if it's a holiday for the
settlement calendar, it affects the LIBOR even though the NYSE is open.
Is this correct?

Luigi


--------------

> 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 
> 
>  
> 
>  
> 
> 
>