[Quantlib-dev] [ quantlib-Bugs-1508489 ] Indexes: ModifiedFollowing vs. MonthEndReference

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Bugs item #1508489, was opened at 2006-06-19 11:29
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Indexes: ModifiedFollowing vs. MonthEndReference

Initial Comment:
"
Where a deposit is made on the final business day of 
a particular calendar month, the maturity of the 
deposit shall be on the final business day of the 
month in which it matures (not the corresponding date 
in the month of maturity). Or in other words, in line 
with market convention, BBA LIBOR rates are dealt on 
an end-end basis. For instance a one month deposit 
for value 28th February would mature on 31st March, 
not the 28th of March.
"

In all the Index subclasses the BusinessDayConvention 
is set to ModifiedFollowing when, I believe, the 
right setting would have to be MonthEndReference.

Ciao,
Nicola Chiarini

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Comment By: Luigi Ballabio (lballabio)
Date: 2006-07-12 17:07

Message:
Logged In: YES 
user_id=75450

The bug is now fixed in CVS.
Thank you for the report.


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You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1508489&group_id=12740