Re: [Quantlib-dev] [Quantlib-users] Stripping a YieldCurve with day tenor formats...

[Guowen H. <GH...@dt...>]

Hi Toyin,

The default BusinessDayConvention is set to Following for the advance() 
function. If you want calendar days, you should use Unadjusted.
For example:
        your_target_date = calendar.advance(your_original_date, period(9, 
Days), Unadjusted))

Hope it will solve your problem.

Guowen



"Toyin Akin" <toy...@ho...> 
Sent by: qua...@li...
09/26/2006 11:15 PM

To
lui...@gm...
cc
qua...@li..., qua...@li...
Subject
[Quantlib-users] Stripping a YieldCurve with day tenor formats...






Hi all,

I'm trying to strip a yieldcurve with day tenor formats (ie - 9D for 9 
days).

I expected this to be 9 calendar days forward with an adjustment on the 
9th 
date.
However quantlib performs 9 market days forward.

The reason I find using the day tenor format useful is in the case where 
we 
have both deposits and futures within the curve and we do not want 
deposits 
to overlap futures (ie - no deposit end date must exceed the first futures 

contract as we regard the futures contract more liquid.).

Thus I remove all the deposit instruments that exceed the first futures 
date, however one may find an undefined gap in the curve between the last 
deposit instrument remaining and the first futures contract. I thus add a 
deposit contract starting from spot up to the first futures contract and 
the 
rate is taken as an interpolation of the original deposit rates.

In my case, I currently have a deposit tenor of 153D, but quantlib will 
interpret this as market days and not calendar days. In fact it looks like 

the logic within the advance() method of the calendar class always 
interprets the day tenor as market days.

Is it possible to have a calendar days movement option with a final 
adjustment like the Week, Month, Year tenor cases?

Thanks in advance,
Toyin Akin.



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