[Quantlib-users] Yield Curve - Calendar Issue

[GL_QL <gl...@co...>]

Hey there,


I am trying to bootstrap a US yield curve in QuantlibXL, but I have issues
with the dates that I am getting from the function
qlPiecewiseYieldCurveDates. 

Let's take for example the curve as of February 28th 2011. For the Deposits,
I am using the UnitedKingdom::Exchange calendar, then TARGET for the
Eurodollar futures, and UnitedStates::NYSE for the swaps. 
When creating the Future Rate Helper, I am using either the IMM codes or the
IMM dates produced by the function qlIMMNextCodes or qlIMMNextDates. I then
bootstrap the yield curve.

When using the function qlPiecewiseYieldCurveDates to get the dates from the
curve, the dates corresponding to the Eurodollar futures will be different
from the maturity dates from qlIMMNextDates. For example, March 16th 2011 vs
March 15th 2011, or September 15th 2011 vs September 21st 2011. What is the
reason for that, and is there a way of forcing the dates ? 

Thanks for your help.

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