Re: [Quantlib-users] Missing USDLibor6M Actual/360 fixing

[animesh s. <ani...@gm...>]

  Yes, that's right. But again the question is -> Is this what Quantlib 
is doing?
Or is it extending past the start or end dates and hence error in 
finding the libor rate


On 8/9/10 7:11 PM, MonkeyMan wrote:
> animesh saxena<animesh.saxena<at>  gmail.com>  writes:
>
>> ... (gmane made me prune the rest of this post)
>> Say the 1 year floating leg start on on Feb 17 2009 and end on Feb 17
>> 2010. The accrual periods, only adjusted to weekends, are
>> Feb 17 2009, May 18 2009
>> May 18 2009, Aug 17 2009
>> Aug 17 2009, Nov 17 2009
>> Nov 17 2009, Feb 17 2010
>>
>> Note that the May 17 2009 is Sunday, so it is adjusted to May 18 2009.
>> There are two ways to compute the forward rate for period May 18 to Aug
>> 17 2009.
>> (1) ForwardRate(May 18 2009, Aug 17 2009), which is "naturally" the same
>> as the accrual period.
>> (2) ForwardRate(May 18 2009, May 18 2009 + 3 months), which is using the
>> 3 months libor definition.
>> ... (gmane made me prune the rest of this post)
> Seems like you'd want to go with your first option. You'd need to interpolate
> the rates in the shorter period rather than extend past the end date. This
> should be priced into the instrument, right?
>
>
>
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-- 
Regards,
Animesh Saxena

(http://quantanalysis.wordpress.com)
Ph: (+91)9920098221