Re: [Quantlib-dev] [Quantlib-users] Pricing of CAP and Swaption with Quantlib

[Ioannis R. <qua...@de...>]

Hi QuantLib users and developers,

I have just discovered the following wrong holiday that affects the 
UnitedKingdom class.

I mention it here because the UK market is extremely important due to 
the many financial instruments traded there and used to calibrate many 
curves.

All Libor rates, for example, are affected.

*QuantLib regards wrongly the 30 May 2022 as holiday. This date should 
be actually replaced with the two dates 2 June (Spring or Late May) and 
3 June (Platinum Jubilee of Elizabeth II).*

The interesting is that all remaining holidays until 2049 are correct!

I am not sure why this happens wrt that particular date. I will try to 
investigate and let you know.

Cheers,

Ioannis



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