From: Chak J. W. <Cha...@mo...> - 2003-01-27 08:35:28
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Hi, Luigi and Jens, The behavior in Jens' e-mail is exactly what we need. This is mainly used for cross-ccy swap. for USD and Yen swap on Libor , the holiday is typically NewYork, London and Tokyo (i.e. union of holiday.), and for quite a lot of swiss product, we use Zurich/London. This is rather important (yet pretty simple) Is it possible to add this simple class to the 0.3.1 release? Best regards, Jack Luigi Ballabio wrote: > At 1:56 PM +0000 1/24/03, Chak Jack Wong wrote: > >Something very simple, how can I specify NewYork and London as calendar? > > Jack, > it's not entirely clear to me whether you want a calendar > whose set of business days is the union or the intersection of the > set of business days of New York and London. However, the principle > is the same: you use the Composite pattern. You should derive a new > calendar and a corresponding calendar implementation. The constructor > of the new Calendar class takes two Calendars c1 and c2 and just > passes them to its implementation, which stores them. The > implementation defines its isBusinessDay(date) method either as: > > return c1.isBusinessDay(date) || c2.isBusinessDay(date); > > or: > > return c1.isBusinessDay(date) && c2.isBusinessDay(date); > > depending on the desired behavior. You'll also have to implement its > name() method by composing c1.name() and c2.name() somehow. > > You're welcome to come back with some tentative code if you get into > any problem---I'll try and give you a hand. > > Later, > Luigi > > ------------------------------------------------------- > This SF.NET email is sponsored by: > SourceForge Enterprise Edition + IBM + LinuxWorld = Something 2 See! > http://www.vasoftware.com > _______________________________________________ > Quantlib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users -- This is not an offer (or solicitation of an offer) to buy/sell the securities/instruments mentioned or an official confirmation. Morgan Stanley may deal as principal in or own or act as market maker for securities/instruments mentioned or may advise the issuers. This may refer to a research analyst/research report. Unless indicated, these views are the author's and may differ from those of Morgan Stanley research or others in the Firm. We do not represent this is accurate or complete and we may not update this. Past performance is not indicative of future returns. For additional information, research reports and important disclosures, contact me or see https://secure.ms.com. You should not use email to request, authorize or effect the purchase or sale of any security or instrument, to send transfer instructions, or to effect any other transactions. We cannot guarantee that any such requests received via email will be processed in a timely manner. This communication is solely for the addressee(s) and may contain confidential information. We do not waive confidentiality by mistransmission. Contact me if you do not wish to receive these communications. In the UK, this communication is directed in the UK to those persons who are market counterparties or intermediate customers (as defined in the UK Financial Services Authority's rules). |