Re: [Quantlib-users] Yield Curve - Calendar Issue

[Ferdinando A. <na...@am...>]

On Wed, Mar 9, 2011 at 5:28 PM, GL_QL <gl...@co...> wrote:
> I totally agree with the fact that you should
> consider the maturity of the underlying, but I think the market convention
> is to take the IMM maturity date

I would call it a "common approximation" instead of a "market
convention" and I can grant you it's not widespread in real trading
environment

> Do you know if there is a way of
> switching to this convention ?

it's not available yet, but I will add it in the repository

ciao -- Nando