quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] help with amortizing notionals

[Luigi B. <lui...@gm...>]

On Wed, 2008-11-05 at 08:01 +0100, Jose Aparicio-Navarro wrote:
> Hi all, I am failing to create an amortizing notional bond schedule and I am not
> sure whether I am misinterpreting the way I have to pass the data or a REQUIRE
> is written with the test condition in the reverse direction.

No, of course the REQUIRE should be reversed. My mistake. I've fixed it
on the 0.9.7 branch---may you check it?

Thanks,
	Luigi


-- 

Greenspun's Tenth Rule of Programming: 
Any sufficiently complicated C or Fortran program contains an 
ad-hoc, informally-specified bug-ridden slow implementation of 
half of Common Lisp. 

Re: [Quantlib-dev] help with amortizing notionals

[Simon I. <s.i...@gm...>]

Hi Pepe,

I'm afraid that I'm on holiday at the moment - won't be back at my desk for
about 10 days. Also, after I wrote the code, Luigi did some modifications -
so I can't be certain that the code in the library will work.
As the code that uses a simple sinking schedule also doesn't work (and
therefore has nothing to do with how you've input the notional schedule) I'd
guess that there is a problem with the code.
Can you send me the full file - I can't get to the repository on this PC?
Thanks,
Simon

On Wed, Nov 5, 2008 at 7:01 AM, Jose Aparicio-Navarro <ja...@fr...>wrote:

>
> Hi all, I am failing to create an amortizing notional bond schedule and I
> am not
> sure whether I am misinterpreting the way I have to pass the data or a
> REQUIRE
> is written with the test condition in the reverse direction.
>
> I create the bond:
>
>    DayCounter dayCtr = ActualActual();
>
>    Real bondFaceVal = 1000000.0;
>    Real redemption  = 100.0;
>    Date bondMaturity(todaysDate + Period(3, Years));
>
>    Schedule scheFix(todaysDate,
>                     bondMaturity,
>                     Period(3,TimeUnit::Months),
>                     TARGET(),
>                     ModifiedFollowing,
>                     ModifiedFollowing,
>                     DateGeneration::Backward,
>                     false);
>
>    std::vector<Real> notionls(5, bondFaceVal);
>    notionls.insert(notionls.end(), 4, bondFaceVal/10.);
>    notionls.insert(notionls.end(), 4, bondFaceVal/100.);
>
>    boost::shared_ptr<AmortizingFixedRateBond> amortFix(
>      new AmortizingFixedRateBond(0,
>        notionls, scheFix, std::vector<Rate>(1, 0.05),
>        dayCtr, ModifiedFollowing,
>        std::vector<Real>(1, 100.)));
>
>
> I fail the REQUIRE (line 508 in bond.cpp) at the second notional insertion
> in
>
> void Bond::calculateNotionalsFromCashflows()
>
>
> When constructing the bond with a sinking freq I get the same test failure:
>
>    boost::shared_ptr<AmortizingFixedRateBond> amortFix(
>      new AmortizingFixedRateBond(0,
>        TARGET(), bondFaceVal, todaysDate,
>        Period(3, Months), Frequency::Monthly, 0.05,
>        dayCtr, ModifiedFollowing, todaysDate));
>
>
> Regards
> Pepe
>
>

[Quantlib-dev] help with amortizing notionals

[Jose Aparicio-N. <ja...@fr...>]

Hi all, I am failing to create an amortizing notional bond schedule and I am not
sure whether I am misinterpreting the way I have to pass the data or a REQUIRE
is written with the test condition in the reverse direction.

I create the bond:

    DayCounter dayCtr = ActualActual();

    Real bondFaceVal = 1000000.0;
    Real redemption  = 100.0;
    Date bondMaturity(todaysDate + Period(3, Years));

    Schedule scheFix(todaysDate,
                     bondMaturity,
                     Period(3,TimeUnit::Months),
                     TARGET(),
                     ModifiedFollowing,
                     ModifiedFollowing,
                     DateGeneration::Backward,
                     false);

    std::vector<Real> notionls(5, bondFaceVal);
    notionls.insert(notionls.end(), 4, bondFaceVal/10.);
    notionls.insert(notionls.end(), 4, bondFaceVal/100.);

    boost::shared_ptr<AmortizingFixedRateBond> amortFix(
      new AmortizingFixedRateBond(0,
        notionls, scheFix, std::vector<Rate>(1, 0.05),
        dayCtr, ModifiedFollowing,
        std::vector<Real>(1, 100.)));


I fail the REQUIRE (line 508 in bond.cpp) at the second notional insertion in

void Bond::calculateNotionalsFromCashflows()


When constructing the bond with a sinking freq I get the same test failure:

    boost::shared_ptr<AmortizingFixedRateBond> amortFix(
      new AmortizingFixedRateBond(0,
        TARGET(), bondFaceVal, todaysDate,
        Period(3, Months), Frequency::Monthly, 0.05,
        dayCtr, ModifiedFollowing, todaysDate));


Regards
Pepe

[Quantlib-dev] 0.9.7 branch created

[Luigi B. <lui...@gm...>]

Hi all,
	I've just created a 0.9.7 release branch in Subversion at
<https://quantlib.svn.sourceforge.net/svnroot/quantlib/branches/R000907-branch>.

It's a release with the main purpose of including a number of external
contributions we had in queue.
As usual, bug fixes should go on the release branch; new stuff should go
on the trunk.

Luigi


-- 

feature, n: 
A surprising property of a program. Occasionally documented. 
To call a property a feature sometimes means the author did not 
consider that case, and the program makes an unexpected, though 
not necessarily wrong response. See BUG. "That's not a bug, 
it's a feature!" A bug can be changed to a feature by 
documenting it. 

[Quantlib-dev] UpperBoundEngine

[petercaspers <pet...@ar...>]

Hi,

I am trying to compute upper bounds for multicallable swaps using the
UpperBoundEngine and a Longstaff-Schwartz exercise strategy. I get problems
(=very high upper bound deltas) when I do this for swaps with different
payment frequencies in the two legs, e.g. 1y fixed vs. 6m float. For a
corresponding 1y/1y swap the upper bound is much tighter.

As far as I can see it, this is due to the handling of cash flows on
exercise dates in the upper bound engine. For the lower bound calculation
(as in collectNodeData, LongstaffSchwartzRegression, callSpecifiedProduct) I
understood that cashflows fixed _strictly before_ the exercise step are
still paid in case of exercising a call and those fixed _on or after_ the
exercise step are not. In the upper bound calculation it seems to me that
roughly speaking "strictly before" is replaced by "before or on". E.g. in
the calculation of the unexercisedHedgeValue in the inner loop inside a
single path calculation only those cashflows of the hedge product are taken
into account which are fixed on exercise index +1, +2 ... In the above
example this seems to lead to an mismatch between fixed and float cashflows
and therefore to the high bound.

Is my understanding of which cashflows are called on an exercise index
correct? If so, does my remarks on the upper bound engine make sense?

Thanks for any hint on this.

Best regards
Peter
-- 
View this message in context: http://www.nabble.com/UpperBoundEngine-tp20266840p20266840.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] task list 138604

[Sun, X. <xiu...@ci...>]

Is Mark Joshi there ?
Can I ask if there is any pending work on this task, I want to learn and
contribute ...

Best Regards,
sun

Re: [Quantlib-dev] BUG: wrong calendar for USD Libor ON fixing

[Luigi B. <lui...@gm...>]

On Thu, 2008-10-23 at 10:22 +0100, Simon Ibbotson wrote:
> Here is an email I received from the BBA. It should resolve the
> question about which holiday calendar the BBA are using for the USD.

Ok... so it seems to be the other way around---if it's a holiday for the
settlement calendar, it affects the LIBOR even though the NYSE is open.
Is this correct?

Luigi


--------------

> Okay I see. The BBA follow a set calendar that I have copied below
> including the dates for this year and the next for USD LIBOR. Where it
> states "ALL" this means that it is a UK holiday (and possibly a US
> holiday as well) and where it states "Overnight/spotnext" is where it
> is an American public holiday that does effect LIBOR.
> 
>  
> 
> To be honest I cannot guarantee that the below covers all US public
> holidays, but I can tell you that if there are any US holidays not in
> the below list then they do not affect USD LIBOR. 
> 
>  
> 
> Does this help any better?
> 
>  
> 
> US Public
> holidays
> 
> 
>  
> 
> 
>  
> 
> 
>  
> 
> 
>  New Years Day
> 
> 
> All
> 
> 
> Tuesday, January
> 1, 2008 
> 
> 
> Thursday, January
> 1, 2009
> 
> 
>  Martin L King's
> Birthday  
> 
> 
> Overnight/Spotnext
> 
> 
> Monday, January
> 21, 2008 
> 
> 
> Monday, January
> 19, 2009 
> 
> 
>  President's Day
> 
> 
> All
> 
> 
> Monday, February
> 18, 2008    
> 
> 
> Monday, February
> 16, 2009    
> 
> 
> Good Friday 
> 
> 
> All
> 
> 
> 21 March 2008
> 
> 
> 10 April 2009
> 
> 
> Easter Monday 
> 
> 
> All
> 
> 
> 24 March 2008
> 
> 
> 13 April 2009
> 
> 
> Early May Bank
> Holiday 
> 
> 
> All
> 
> 
> 05 May 2008
> 
> 
> 04 May 2009
> 
> 
>  Memorial Day
> 
> 
> All
> 
> 
> Monday, May 26,
> 2008 
> 
> 
> Monday, May 25,
> 2009
> 
> 
>  Independence
> Day 
> 
> 
> Overnight/Spotnext
> 
> 
> Friday, July 4,
> 2008
> 
> 
> Friday, July 3,
> 2009
> 
> 
> Summer Bank
> Holiday 
> 
> 
> All
> 
> 
> 25 August 2008
> 
> 
> 31 August 2009
> 
> 
>  Labor Day
> 
> 
> Overnight/Spotnext
> 
> 
> Monday, September
> 1, 2008 
> 
> 
> Monday, September
> 7, 2009 
> 
> 
>  Columbus Day
> 
> 
> Overnight/Spotnext
> 
> 
> Monday, October
> 13, 2008 
> 
> 
> Monday, October
> 12, 2009 
> 
> 
>  Veteran's Day 
> 
> 
> Overnight/Spotnext
> 
> 
> Tuesday, November
> 11, 2008 
> 
> 
> Wednesday,
> November 11,
> 2009 
> 
> 
>  Thanksgiving
> Day 
> 
> 
> Overnight/Spotnext
> 
> 
> Thursday,
> November 27, 2008
> 
> 
> Thursday,
> November 26, 2009
> 
> 
>  Christmas Day
> 
> 
> All
> 
> 
> Thursday,
> December 25, 2008
> 
> 
> Friday, December
> 25, 2009
> 
> 
> • December 26,
> 2007: BOXING
> Day  
> 
> 
> All
> 
> 
>  
> 
> 
>  
> 
> 
> 
>  
> 
>  
> 
> Kind Regards,
> 
> Peter Denton 
> 
> British Bankers' Association (BBA)  
> 
>              'The voice of banking & financial services'
>  
> 
> Pinners Hall 
> 105-108 Old Broad Street
> London EC2N 1EX - UK
> T : +44 (0) 20 7216 8896 
> 
> E: pet...@bb... 
> W: www.bba.org.uk 
> 
>  
> 
>  
> 
> 
> 

[Quantlib-dev] [ quantlib-Feature Requests-2198068 ] Implementing global optimizer like "Differential Evolution"

[SourceForge.net <no...@so...>]

Feature Requests item #2198068, was opened at 2008-10-26 16:11
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2198068&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Implementing global optimizer like "Differential Evolution"

Initial Comment:
For calibration problematics, the combination of a global optimizer and a local existing one like Levenberg-Marquardt would be ideal (see http://www.wilmott.com/messageview.cfm?catid=34&threadid=45340 about this opinion)

----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2198068&group_id=12740

Re: [Quantlib-dev] preferred compiler?

[Ferdinando A. <na...@am...>]

On Fri, Oct 24, 2008 at 12:47 AM, Mark joshi <mar...@gm...> wrote:
> Do we have a preferred compiler? At the moment, I am doing all my work
> in VC8, but I could switch to VC9
> if that's preferrable.

in my production environment I'm using VC8, so as far as I'm concerned
VC8 it's the most used and tested.
Actually I would prefer to move to VC9 since its free Express version
is complete and nicely packaged, but its runtime libraries are not
widely distributed yet on non-developer workstations, and this is a
roadblock for me.

ciao -- Nando

Re: [Quantlib-dev] preferred compiler?

[Luigi B. <lui...@gm...>]

On Fri, 2008-10-24 at 09:47 +1100, Mark joshi wrote:
> Do we have a preferred compiler?

Not that I know of.

Luigi


-- 

Newton's Law of Gravitation: 
What goes up must come down. But don't expect it to come down 
where you can find it. Murphy's Law applies to Newton's. 

[Quantlib-dev] preferred compiler?

[Mark j. <mar...@gm...>]

Do we have a preferred compiler? At the moment, I am doing all my work
in VC8, but I could switch to VC9
if that's preferrable.

Re: [Quantlib-dev] Bonds sample

[N_Lassesen <nic...@ca...>]

Nando and Piter,

Thank you very much for your replies. Fortunately in my job I have yet to
come accross such a bond :-).

However, I do suggest that someone puts a note about this in the
documentation for the bond::yield function.

/Nicolai
-- 
View this message in context: http://www.nabble.com/Bonds-sample-tp19876099p20134518.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] Error compiling QualtLIb 0.9.6 on BrentMinimize called

[a_disabatino <a_d...@li...>]

Hi, 

QuantLib 0.9.6
Solaris 10
Sun Studio 12

have a look at this error please: 


source='spherecylinder.cpp' object='spherecylinder.lo' libtool=yes \
        DEPDIR=.deps depmode=none /bin/bash ../../../config/depcomp \
        /bin/bash ../../../libtool --tag=CXX --mode=compile /opt/SUNWspro/bin/CC -DHAVE_CONFIG_H -I. -I. -I../../../ql  -I../../.. -I../../.. -I/boost/boost_1_36_0  -G -g  -qoption ld -i  -DOPTIMISED -DSUN -DINCLUDE_STD -D_CLIENT_RELEASE +w2 -xlibmil -xarch=v8plusa -xO4 -xlibmopt -fsimple=2 -library=stlport4  -c -o spherecylinder.lo spherecylinder.cpp
 /opt/SUNWspro/bin/CC -DHAVE_CONFIG_H -I. -I. -I../../../ql -I../../.. -I../../.. -I/boost/boost_1_36_0 -G -g -qoption ld -i -DOPTIMISED -DSUN -DINCLUDE_STD -D_CLIENT_RELEASE +w2 -xlibmil -xarch=v8plusa -xO4 -xlibmopt -fsimple=2 -library=stlport4 -c spherecylinder.cpp  -KPIC -DPIC -o .libs/spherecylinder.o
CC: Warning: -xarch=v8plusa is deprecated, use -m32 -xarch=sparcvis instead "spherecylinder.cpp", line 151: Error: Could not find a match for::BrentMinimize<::T,::Value>(double, double, double, double, unsigned, const QuantLib::SphereCylinderOptimizer) needed in QuantLib::SphereCylinderOptimizer::findClosest(unsigned, double, double&, double&, double&) const.
1 Error(s) detected.
make[4]: *** [spherecylinder.lo] Error 1
make[4]: Leaving directory `/ql/QuantLib-0.9.6/ql/math/optimization'
make[3]: *** [all-recursive] Error 1
make[3]: Leaving directory `/ql/QuantLib-0.9.6/ql/math'
make[2]: *** [all-recursive] Error 1
make[2]: Leaving directory `/ql/QuantLib-0.9.6/ql'
make[1]: *** [all] Error 2
make[1]: Leaving directory `/ql/QuantLib-0.9.6/ql'


I have it in  spherecylinder.cpp file, it seems bad call interface for BrentMinimize() function. 

do you have some idea please?

welcome
Rgds
Antonio

Re: [Quantlib-dev] BUG: wrong calendar for USD Libor ON fixing

[Simon I. <s.i...@gm...>]

Here is an email I received from the BBA. It should resolve the question
about which holiday calendar the BBA are using for the USD.

Simon



Dear Simon,



Okay I see. The BBA follow a set calendar that I have copied below including
the dates for this year and the next for USD LIBOR. Where it states "*ALL*"
this means that it is a UK holiday (and possibly a US holiday as well) and
where it states "*Overnight/spotnext"* is where it is an American public
holiday that does effect LIBOR.



To be honest I cannot guarantee that the below covers all US public
holidays, but I can tell you that if there are any US holidays not in the
below list then they do not affect USD LIBOR.



Does this help any better?



*US Public holidays*

* *





 New Years Day

*All*

Tuesday, January 1, 2008

Thursday, January 1, 2009

 Martin L King's Birthday

*Overnight/Spotnext*

Monday, January 21, 2008

Monday, January 19, 2009

 President's Day

*All*

Monday, February 18, 2008

Monday, February 16, 2009

Good Friday

*All*

21 March 2008

10 April 2009

Easter Monday

*All*

24 March 2008

13 April 2009

Early May Bank Holiday

*All*

05 May 2008

04 May 2009

 Memorial Day

*All*

Monday, May 26, 2008

Monday, May 25, 2009

 Independence Day

*Overnight/Spotnext*

Friday, July 4, 2008

Friday, July 3, 2009

Summer Bank Holiday

*All*

25 August 2008

31 August 2009

 Labor Day

*Overnight/Spotnext*

Monday, September 1, 2008

Monday, September 7, 2009

 Columbus Day

*Overnight/Spotnext*

Monday, October 13, 2008

Monday, October 12, 2009

 Veteran's Day

*Overnight/Spotnext*

Tuesday, November 11, 2008

Wednesday, November 11, 2009

 Thanksgiving Day

*Overnight/Spotnext*

Thursday, November 27, 2008

Thursday, November 26, 2009

 Christmas Day

*All*

Thursday, December 25, 2008

Friday, December 25, 2009

• *December 26, 2007:* BOXING Day

*All*

* *







Kind Regards,

*Peter Denton*

British Bankers' Association (BBA)

*             'The voice of banking & financial services'*


Pinners Hall
105-108 Old Broad Street
London EC2N 1EX - UK
T : +44 (0) 20 7216 8896

E: pet...@bb...
W: www.bba.org.uk

Re: [Quantlib-dev] Bonds sample

[Piter D. <pit...@ma...>]

<html><body><font size="3"><span style="font-family:
verdana,arial,helvetica,sans-serif;">
<div>Nicolai,<br /></div><div><br /></div><div>&gt;&gt; what is the reasoning
behind the fact <br />&gt;&gt; that one has to create a schedule (for
coupons) and provide it to the bond <br />&gt;&gt; constructor, instead of
providing the necessary information to the bond <br />&gt;&gt; constructor
and then have it construct the needed schedule? <br /></div><div><br
/></div><div>It is more generic and make easy to implement non regular
cashflows. I could use  it in a securitization product we had in my last job,
for example. </div><div><br /></div>&gt; I don't have access to the code
right now, but if I remember right the <br />&gt; input frequency is used in
order to calculate the actual coupon <br />&gt; payment from the coupon rate,
and it might be different from the <br />&gt; frequency used to calculate the
yield,<br /><br /><div>This is the case for Brazil. We have the NTN-F public
bond quoted at Annual Business/252 but whose coupon generation follows Annual
30/360.<br /><br /></div><div>Regards,<br /><br /><br />
</div></span></font></body></html>

Re: [Quantlib-dev] Bonds sample

[Ferdinando A. <na...@am...>]

Hi Nicolai

> what is the reasoning behind the fact
> that one has to create a schedule (for coupons) and provide it to the bond
> constructor, instead of providing the necessary information to the bond
> constructor and then have it construct the needed schedule?
I would reverse the question and ask what would be the reason to have
multiple input parameters used for Schedule construction instead of
just passing a Schedule, that is a single parameter.

Besides it is not rare the case in which the schedule used for the
bond might have been originated from a swap, or viceversa

> Furthermore when you need the bond yield [...] the need to provide the
> Frequency parameter troubles me, because that frequency was allready
> provided when the coupon schedule was created.
I don't have access to the code right now, but if I remember right the
input frequency is used in order to calculate the actual coupon
payment from the coupon rate, and it might be different from the
frequency used to calculate the yield, e.g. when you want to compare
the yield of 2 bonds with different coupon rate frequency and/or
schedule

hope it helps

ciao -- Nando

Re: [Quantlib-dev] Bonds sample

[N_Lassesen <nic...@ca...>]

Regarding the quantlib bond classes, what is the reasoning behind the fact
that one has to create a schedule (for coupons) and provide it to the bond
constructor, instead of providing the necessary information to the bond
constructor and then have it construct the needed schedule?

Furthermore when you need the bond yield, the way to get it is (assuming an
existing fixedRateBond object with semiannual coupon payments):

Real price = 73.27;
Rate yld =
fixedRateBond.yield(price,Thirty360(Thirty360::EurobondBasis),Compounded,Semiannual);

where especially the need to provide the Frequency parameter troubles me,
because that frequency was allready provided when the coupon schedule was
created. The need to provide this frequency here also is, in my opinion,
quite confusing.

/Nicolai

-- 
View this message in context: http://www.nabble.com/Bonds-sample-tp19876099p20112443.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] Bonds sample

[Luigi B. <lui...@gm...>]

On Wed, 2008-10-08 at 12:16 +0200, Florent Grenier wrote:
> I rewrote the bond sample I sent a few weeks ago in order to include a
> treasury curve built on some fixed bonds. The shape & value of the
> curves look fine.

Ok, I've added it to the repository.

Thanks,
	Luigi


-- 

All generalizations are false, including this one. 
-- Mark Twain 

Re: [Quantlib-dev] BUG: wrong calendar for USD Libor ON fixing

[snovik <sn...@gm...>]

hm. in any case I was talking about ON and there was NO ON :) fixing on
13.10.2008.

It looks like other than ON rates depend on UK calendar





Simon Ibbotson wrote:
> 
> Yes, USD-Libor fixed on 13th October... value of 4.7525 for 3M.
> 
> 
> On Wed, Oct 22, 2008 at 10:14 AM, Luigi Ballabio
> <lui...@gm...>wrote:
> 
>> On Tue, 2008-10-21 at 09:45 -0700, snovik wrote:
>> > easy, though the other way round: 13.10.2008 - business day for NYSE
>> but
>> > holiday for Settlement
>>
>> Did the USD LIBOR fix on that date?
>>
>> Luigi
>>
>>
>> --
>>
>> No, I'm not interested in developing a powerful brain. All I'm after
>> is just a mediocre brain, something like the president of American
>> Telephone and Telegraph Company.
>> -- Alan Turing on the possibilities of a thinking machine, 1943.
>>
>>
>>
>> -------------------------------------------------------------------------
>> This SF.Net email is sponsored by the Moblin Your Move Developer's
>> challenge
>> Build the coolest Linux based applications with Moblin SDK & win great
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>> _______________________________________________
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>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
> 
> -------------------------------------------------------------------------
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> challenge
> Build the coolest Linux based applications with Moblin SDK & win great
> prizes
> Grand prize is a trip for two to an Open Source event anywhere in the
> world
> http://moblin-contest.org/redirect.php?banner_id=100&url=/
> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
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-- 
View this message in context: http://www.nabble.com/BUG%3A-wrong-calendar-for-USD-Libor-ON-fixing-tp19994948p20110720.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] BUG: wrong calendar for USD Libor ON fixing

[Simon I. <s.i...@gm...>]

Yes, USD-Libor fixed on 13th October... value of 4.7525 for 3M.


On Wed, Oct 22, 2008 at 10:14 AM, Luigi Ballabio
<lui...@gm...>wrote:

> On Tue, 2008-10-21 at 09:45 -0700, snovik wrote:
> > easy, though the other way round: 13.10.2008 - business day for NYSE but
> > holiday for Settlement
>
> Did the USD LIBOR fix on that date?
>
> Luigi
>
>
> --
>
> No, I'm not interested in developing a powerful brain. All I'm after
> is just a mediocre brain, something like the president of American
> Telephone and Telegraph Company.
> -- Alan Turing on the possibilities of a thinking machine, 1943.
>
>
>
> -------------------------------------------------------------------------
> This SF.Net email is sponsored by the Moblin Your Move Developer's
> challenge
> Build the coolest Linux based applications with Moblin SDK & win great
> prizes
> Grand prize is a trip for two to an Open Source event anywhere in the world
> http://moblin-contest.org/redirect.php?banner_id=100&url=/
> _______________________________________________
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Re: [Quantlib-dev] BUG: wrong calendar for USD Libor ON fixing

[Luigi B. <lui...@gm...>]

On Tue, 2008-10-21 at 09:45 -0700, snovik wrote:
> easy, though the other way round: 13.10.2008 - business day for NYSE but
> holiday for Settlement

Did the USD LIBOR fix on that date?

Luigi


-- 

No, I'm not interested in developing a powerful brain. All I'm after 
is just a mediocre brain, something like the president of American 
Telephone and Telegraph Company. 
-- Alan Turing on the possibilities of a thinking machine, 1943. 

Re: [Quantlib-dev] BUG: wrong calendar for USD Libor ON fixing

[Simon I. <s.i...@gm...>]

Thanks! Bloomberg shows USD-Libor for last Monday (and the previous
Thursday). However, it also shows USD-Libor fixings for the 4th of July (a
holiday for everyone in the US) - confirming that the USD-Libor fixing
calendar is only dependent upon the London holiday calendar.


However, the settlement date for the underlying USD deposit will be
affected.
Therefore, the USD-Libor rate on Wed 2nd July will be based upon a depo
placed on Monday 7th July (rather than Friday 4th July).

This still leaves it ambiguous whether the value date (settlement date) for
the underlying depo fixed on Thursday 9th October was on the 13th October (a
valid settlement date) or on the 14th October (a valid NYSE date).


Simon

PS The O/N, S/N rates fixing dates ARE also dependent upon the calendar of
the major financial centre of the currency concerned.


On Tue, Oct 21, 2008 at 5:45 PM, snovik <sn...@gm...> wrote:

>
> easy, though the other way round: 13.10.2008 - business day for NYSE but
> holiday for Settlement
>
>
>
> Luigi Ballabio wrote:
> >
> > On Thu, 2008-10-16 at 16:31 +0100, Simon Ibbotson wrote:
> >> I know there are days when the banks in NY are open for settlement
> >> purposes but the NYSE is closed.
> >> Therefore a USD depo could be placed on a day when the NYSE is closed
> >> - so the value date of the USD-Libor should be based upon NY
> >> settlement dates not exchange dates.
> >>
> >> Make sense?
> >
> > It does make sense, but the question is whether it was defined that
> > way... I guess we'll have to single out a date which is a NYSE holiday
> > but a valid settlement date and see whether the USD-LIBOR fixed.
> >
> > Luigi
> >
> >
> > --
> >
> > The surest way to make a monkey of a man is to quote him.
> > -- Robert Benchley
> >
> >
> >
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Re: [Quantlib-dev] BUG: wrong calendar for USD Libor ON fixing

[snovik <sn...@gm...>]

easy, though the other way round: 13.10.2008 - business day for NYSE but
holiday for Settlement



Luigi Ballabio wrote:
> 
> On Thu, 2008-10-16 at 16:31 +0100, Simon Ibbotson wrote:
>> I know there are days when the banks in NY are open for settlement
>> purposes but the NYSE is closed.
>> Therefore a USD depo could be placed on a day when the NYSE is closed
>> - so the value date of the USD-Libor should be based upon NY
>> settlement dates not exchange dates.
>> 
>> Make sense?
> 
> It does make sense, but the question is whether it was defined that
> way... I guess we'll have to single out a date which is a NYSE holiday
> but a valid settlement date and see whether the USD-LIBOR fixed.
> 
> Luigi
> 
> 
> -- 
> 
> The surest way to make a monkey of a man is to quote him. 
> -- Robert Benchley 
> 
> 
> 
> -------------------------------------------------------------------------
> This SF.Net email is sponsored by the Moblin Your Move Developer's
> challenge
> Build the coolest Linux based applications with Moblin SDK & win great
> prizes
> Grand prize is a trip for two to an Open Source event anywhere in the
> world
> http://moblin-contest.org/redirect.php?banner_id=100&url=/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
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> 

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View this message in context: http://www.nabble.com/BUG%3A-wrong-calendar-for-USD-Libor-ON-fixing-tp19994948p20094536.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] BUG: wrong calendar for USD Libor ON fixing

[Luigi B. <lui...@gm...>]

On Thu, 2008-10-16 at 16:31 +0100, Simon Ibbotson wrote:
> I know there are days when the banks in NY are open for settlement
> purposes but the NYSE is closed.
> Therefore a USD depo could be placed on a day when the NYSE is closed
> - so the value date of the USD-Libor should be based upon NY
> settlement dates not exchange dates.
> 
> Make sense?

It does make sense, but the question is whether it was defined that
way... I guess we'll have to single out a date which is a NYSE holiday
but a valid settlement date and see whether the USD-LIBOR fixed.

Luigi


-- 

The surest way to make a monkey of a man is to quote him. 
-- Robert Benchley 

Re: [Quantlib-dev] compilation issue in latest snapshot from tree

[Sylvain B. <syl...@gm...>]

Some files were marked M, even though I didn't modify them. Weird.
Anyway I deleted them and ran update again, and now everything's fine.

Thanks

S

On Mon, Oct 20, 2008 at 12:16 PM, Luigi Ballabio
<lui...@gm...>wrote:

> On Mon, 2008-10-20 at 12:05 -0400, Sylvain Bertrand wrote:
> > I just ran svn update.
> > Could that be related to the troubles that sourceforge is
> > experiencing?
>
> I don't know. How about svn status? Did you by any chance modify
> anything?
>
> Luigi
>
>
> --
>
> Poets have been mysteriously silent on the subject of cheese.
> -- Gilbert K. Chesterton
>
>
>