Re: [Quantlib-users] Re: [Quantlib-dev] NewYork Holiday calendar

[Ronald S. <rv...@ma...>]

Has anyone taken a look at FpML's calendar handling in this regard.  
They incorporate the notion of Business Center, one of whose attributes 
would include a calendar.  Hence you can have an NYSE business center 
for stock market holidays, a US Fed business center (to get national 
credit market holidays) and a Massachusetts Bank business center to 
pick up things like Patriot's Day if you have a Boston counterparty.

I also like the mechanisms they use for date resolution etc.  The plan 
where I work is to represent all securities (not just swaps) with 
elements drawn from FpML as appropriate.

Just a thought.

rvs

On Mar 29, 2004, at 11:52 AM, Luigi Ballabio wrote:

> On 2004.03.29 18:16, Dirk Eddelbuettel wrote:
>> On Mon, Mar 29, 2004 at 05:53:05PM +0200, Andre Louw wrote:
>> > I am urgently trying to establish if Friday 31/12/2004 is a holiday,
>> For what it;s worth, Bloomberg's CDR function does not show it as a
>> 2004
>> holiday for the exchanges either, but the US Govt Bond market is
>> listed as
>> having an early close at 2:00pm (i.e. no holiday either).
>
> Hi,
> 	the real problem is that there's no single New York set of 
> holidays---they change depending on the market (exchanges, bonds...) 
> We'll try and cope with that in the future. In the meantime, just 
> recompile your copy of the library with the holidays you need.
>
> Later,
> 	Luigi
>
>
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