quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] What is QuantLib/ql/MarketModels - LMM?

[Klaus S. <kla...@fr...>]

Hi 

from what I heard and what is in the CVS the scope of the MarketModels project 
is much wider than the scope of the LMM code, which has some inefficiencies 
and inherits some due to the "old quantlib style". Especially the separate 
numeriare modelling is something I do appeiciate very much (was also on my 
personal wish list for a long time). 

Therefore I think the right way forward is to reuse the existing LMM code when 
it makes sens (like parts of AbcdVolatility) but to remove the rest as soon 
as the old code gets superseded by the new framework. Looking onto the 
current momentum and the coding power of the MarketModels project this will 
likely be in release 0.3.14;-)

What I personally find even more interestingly is that the new framework does 
currently not use more important design issues of QL like stochastic 
processes, the existing MonteCarlo & Pricing Engine approach or the given 
instrument definitions. Nando, is it planed to "see" more fundamental changes 
in the quantlib soon? (or will the MarketModels stuff be integrated in the 
existing MonteCarlo framework, which is very much equity driven). 

cheers 
 Klaus

On Friday 07 July 2006 9:33 am, Ferdinando Ametrano wrote:
> Hi all
>
> > It looks like some test cases have been coded up for the new
> > QuantLib/ql/MarketModels framework and this looks like another
> > implementation of the Libor Market Model
>
> yes it is. The coding project is led by Mark Joshi. Luigi, I and
> others are involved.
>
> > equivalent to Klaus's [...] Does anyone know whether the two models are
> > consistent with each other?
>
> They probably are. The new implementation follows Joshi and Rebonato's
> approch (see The Concepts and Practice of Mathematical Finance, by
> Mark S. Joshi, and Modern Pricing of Interest Rate Derivatives, by
> Riccardo Rebonato)
>
> This implementation strive for optimal efficiency, and it is not
> really merged into QuantLib current design (yet). Klaus implementation
> is much more QuantLib style, but suffer few efficiency problems.
>
> Klaus knows about the project and we hope he will join us. For sure
> we'll try to reuse much of his work where possible.
>
> ciao -- Nando
>
> Using Tomcat but need to do more? Need to support web services, security?
> Get stuff done quickly with pre-integrated technology to make your job
> easier Download IBM WebSphere Application Server v.1.0.1 based on Apache
> Geronimo
> http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642
> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] What is QuantLib/ql/MarketModels - LMM?

[Toyin A. <toy...@ho...>]

Hi,

Great stuff.

I do like Klaus's framework especially since there are more volatility 
models and you can calibrate various parts of the parameters (no doubt the 
new framework will have these features in the future).

Concerning the new framework, can you price a 5 year cap starting in 2 years 
without simulating the first 2 years of rates? Currently Klaus's framework 
needs all the forwards from spot to price this contract (7 years worth) and 
from the test suite, the new framework provides an example pricing from spot 
also. Can the test case example be easily modified to provide starting 
forward dates?

Best Regards,
Toyin Akin.

>From: "Ferdinando Ametrano" <na...@am...>
>To: "Toyin Akin" <toy...@ho...>
>CC: kla...@fr..., qua...@li..., 
>qua...@li...
>Subject: Re: [Quantlib-dev] What is QuantLib/ql/MarketModels - LMM?
>Date: Fri, 7 Jul 2006 09:33:23 +0200
>
>Hi all
>
>>It looks like some test cases have been coded up for the new
>>QuantLib/ql/MarketModels framework and this looks like another
>>implementation of the Libor Market Model
>yes it is. The coding project is led by Mark Joshi. Luigi, I and
>others are involved.
>
>>equivalent to Klaus's [...] Does anyone know whether the two models are
>>consistent with each other?
>They probably are. The new implementation follows Joshi and Rebonato's
>approch (see The Concepts and Practice of Mathematical Finance, by
>Mark S. Joshi, and Modern Pricing of Interest Rate Derivatives, by
>Riccardo Rebonato)
>
>This implementation strive for optimal efficiency, and it is not
>really merged into QuantLib current design (yet). Klaus implementation
>is much more QuantLib style, but suffer few efficiency problems.
>
>Klaus knows about the project and we hope he will join us. For sure
>we'll try to reuse much of his work where possible.
>
>ciao -- Nando

Re: [Quantlib-dev] What is QuantLib/ql/MarketModels - LMM?

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

Hi all

> It looks like some test cases have been coded up for the new
> QuantLib/ql/MarketModels framework and this looks like another
> implementation of the Libor Market Model
yes it is. The coding project is led by Mark Joshi. Luigi, I and
others are involved.

> equivalent to Klaus's [...] Does anyone know whether the two models are
> consistent with each other?
They probably are. The new implementation follows Joshi and Rebonato's
approch (see The Concepts and Practice of Mathematical Finance, by
Mark S. Joshi, and Modern Pricing of Interest Rate Derivatives, by
Riccardo Rebonato)

This implementation strive for optimal efficiency, and it is not
really merged into QuantLib current design (yet). Klaus implementation
is much more QuantLib style, but suffer few efficiency problems.

Klaus knows about the project and we hope he will join us. For sure
we'll try to reuse much of his work where possible.

ciao -- Nando

[Quantlib-dev] What is QuantLib/ql/MarketModels - LMM?

[Toyin A. <toy...@ho...>]

OK,

It looks like some test cases have been coded up for the new 
QuantLib/ql/MarketModels framework and this looks like another 
implementation of the Libor Market Model equivalent to Klaus's where one 
uses the FixedVolatilityModel class...

Does anyone know whether the two models are consistent with each other?

Klaus, have you looked at this implementation (a bit soon I know but it 
would be worth getting your input on this)?

Best Regards,
Toyin Akin.

[Quantlib-dev] Become a developer

[George <gl...@co...>]

Hi,

 

I'm pretty interested in becoming a developer. I have M.S. in computer
science and M.A. in statistics with over 8 years experience in C++ and
familiar with cvs and both Windows and UNIX. I also have experience in
developing banking system. I'm interested in Pricing engines and Monte
Carlo. Please let me know how to proceed. Thank you.

 

Regards,

George

Re: [Quantlib-dev] new linear algebra library and memory management improvement

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

On 06/22/2006 05:07:43 PM, Fran=E7ois du Vignaud wrote:
> I'm hesitating between two solutions for the uBlas migration :
> Embedding all uBlas code in the existing Array and Matrix classes. =20
> The main advantage is that no other file would be altered. However it
> seems really tedious to expose all the nice features of uBlas using
> this architecture.

Also, it would be hard to expose expression templates and such for the =20
Array and Matrix classes if they embed the uBlas ones.


> Replacing completely all Array and Matrix in the QuantLib code.
> I tend to prefer the second solution.

I too prefer this one, but it would be quite a bit of work (especially =20
if we want to maintain backward compatibility for one release.) We can =20
try and coordinate the effort so that you're not the only one upon =20
whose shoulders the task falls. I'll have a look at uBlas so that I can =20
have an idea of how this can be accomplished---drop me a line if you =20
have already though of this.

Later,
	Luigi


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

Steinbach's Guideline for Systems Programming:
	Never test for an error condition you don't know how to handle.

Re: [Quantlib-dev] developer

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

On 06/26/2006 05:46:45 PM, Zhuo Yu wrote:
> I am interested in becoming a develper for quantlib.

After which, on 06/29/2006 05:19:27 PM, KL wrote:
> I'm interested in getting involved in the Quantlib project.

Finally, on 06/30/2006 11:25:00 PM, Charles Wings wrote:
> I would like contribute my effort for this group.

As one of you pointed out, a pricing engine might be a good start to =20
get familiar with the library. Haug's book should have quite a few =20
analytic formulas that might be implemented easily enough. The three of =20
you might want to coordinate so that you don't end up doing the same =20
thing. Also, write me if you choose this task and I'll send you some =20
draft documentation on the pricing engine framework.

On the other hand, you can choose another task if there's anything that =20
interests you more---this might also be more useful for your line of =20
work, or simply more fun. It doesn't necessarily have to be in our todo =20
list, after all.

Sorry for not having the time to elaborate a bit more. Anyway, think a =20
bit about the above and drop me a line.

Later,
	Luigi


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

When all else fails, pour a pint of Guinness in the gas tank,
advance the spark 20 degrees, cry "God Save the Queen!", and pull
the starter knob.
-- MG "Series MGA" Workshop Manual

Re: [Quantlib-dev] QuantLibAddin for Calc

[eric e. <eri...@gm...>]

Hi Ilia,

We don't provide a binary installation for Calc so you'll need to
compile it from source as described in the documentation.  The build
for the Calc addin is fairly complicated.

Regards,
Eric

On 7/1/06, Ilia Musabirov <izz...@gm...> wrote:
> Hello!
> I'm sorry for my poor English.
> Please, tell my, there can I get binary QuantLibAddin for Calc for Windows?
> Thanks
> --
> WBR Il'
>
> Using Tomcat but need to do more? Need to support web services, security?
> Get stuff done quickly with pre-integrated technology to make your job easier
> Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
> http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] [Quantlib-users] Quantlib Addin and Openoffice 2.0.3

[Joe B. <jw...@ya...>]

I determined the problem.  The upgrade to OO 2.0.3 is a complete install that overwrites all OO system files including unorc on linux and uno.ini on Windows.  The two modifications to the uno files in the help documentation needed to be added back to the files.  Quantlib addin for calc then worked.  Also, not in OO 2+ sysbindir has been changed to origin.

Though I did find a compile error attempting to recompile the addin.


 regcomp -register -r QuantLibAddinCalc-vc71-mt-gd-0_3_12.rdb -c QuantLibAddinCalc-vc71-mt-gd-0_3_12.dll
register component 'QuantLibAddinCalc-vc71-mt-gd-0_3_12.dll' in registry 'QuantLibAddinCalc-vc71-mt-gd-0_3_12.rdb' failed!
error (CannotRegisterImplementationException): cannot get uno environments!
NMAKE : fatal error U1077: 'regcomp' : return code '0x1'

If you compy the recomp line from ths buildlog.html to a command prompt, the command registers without the error.  It only occurs in the make file execution.  This has me puzzled.

Joe


Original message
Anyone that has QuantlibAddin installed on Openoffice 2.0.2 consider if you want to upgrade to OO 2.0.3.  The upgrade will delete the quantlib addin functions.

Recompiling the quantlib addin functions will tell you that everything was install and updated but you will not see the functions in OO.  QLAdemo does not work.  This occurs on both Windows and Linux OS's.

I have a bug report with OO about this

http://www.openoffice.org/issues/show_bug.cgi?id=66909

There may be changes in the OO files again to consider.

Good luck
Joe



A man is not the center of his universe, rather those he loves are.  So his focus should always be on them for they will provide him with love and happiness all of his life - Anonymous
 		
---------------------------------
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[Quantlib-dev] QuantLibAddin for Calc

[Ilia M. <izz...@gm...>]

Hello!
I'm sorry for my poor English.
Please, tell my, there can I get binary QuantLibAddin for Calc for Windows?
Thanks
-- 
WBR Il'

[Quantlib-dev] Quantlib Addin and Openoffice 2.0.3

[Joe B. <jw...@ya...>]

Anyone that has QuantlibAddin installed on Openoffice 2.0.2 consider if you want to upgrade to OO 2.0.3.  The upgrade will delete the quantlib addin functions.

Recompiling the quantlib addin functions will tell you that everything was install and updated but you will not see the functions in OO.  QLAdemo does not work.  This occurs on both Windows and Linux OS's.

I have a bug report with OO about this

http://www.openoffice.org/issues/show_bug.cgi?id=66909

There may be changes in the OO files again to consider.

Good luck
Joe





A man is not the center of his universe, rather those he loves are.  So his focus should always be on them for they will provide him with love and happiness all of his life - Anonymous
 		
---------------------------------
Talk is cheap. Use Yahoo! Messenger to make PC-to-Phone calls.  Great rates starting at 1¢/min.

Re: [Quantlib-dev] List of QuantLib projects

[Charles W. <cha...@gm...>]

I will look into it.

On 6/30/06, Joseph Wang <jo...@gn...> wrote:
> I've put together a list of newbie quantlib projects at
>
> http://wiki.quantlib.org/twiki/bin/view/Quantlib/NewbieProjects
>
> The one I'm particularly interested in having someone do is to finish up the
> GARCH model that is in CVS.  The basic structure of the classes is there, and
> all someone needs to do is to use Hull and formulate the equations there into
> something that fits with the optimization infrastructure.
>
>

[Quantlib-dev] List of QuantLib projects

[Joseph W. <jo...@gn...>]

I've put together a list of newbie quantlib projects at 

http://wiki.quantlib.org/twiki/bin/view/Quantlib/NewbieProjects

The one I'm particularly interested in having someone do is to finish up the 
GARCH model that is in CVS.  The basic structure of the classes is there, and 
all someone needs to do is to use Hull and formulate the equations there into 
something that fits with the optimization infrastructure.

[Quantlib-dev] To join the group

[Charles W. <cha...@gm...>]

Hi there,

I'm Ph.D. student in computer science with 10+ year c++ programming
experience. I'm also familiar with Java, Python, VB and other
programming languages. I worked on some other open source projects
before.

I've taken several financial courses such as "introduction to  theory
and structure of options and futures markets" (John Hull's textbook),
"introduction to mathematical finance", "computational finance" and
etc.

I knew this group lately and would like contribute my effort for this group.

I am interested in the following areas:

- Patterns
- Lattices
- Monte Carlo
- Pricing engines
- Financial Instruments
- Credit derivatives
- Miscellanea

Let me know if I can do something. Thank you.



Regards,

Charles

[Quantlib-dev] Getting involved in the Quantlib project

[KL <hy...@gm...>]

Hi,

I¡¦m interested in getting involved in the Quantlib project. I¡¦m an 
experienced software engineer. I hold a Bachelor of Computer Engineering 
degree + a Master of Commerce (Finance) degree and have more than 6 years of 
C++ development experience on Windows + Linux platform.

Please advise what I can do to help. I¡¦m interested in the following areas 
of development:

* Pricing Engines
* Credit Derivative
* Equity Derivative
* Monte Carlo

Please let me know what I will need to read up on / do to get started. 
Thanks.

Regards,
KL. 

Re: [Quantlib-dev] Bug(?) in interpolation of zero yields

[Sadruddin R. <sa...@qu...>]

Please ignore this mail.

On Thursday 29 June 2006 13:14, Sadruddin Rejeb wrote:
> Hello everyone,
>
> In ql/TermStructures/piecewiseflatforward.cpp, shouldn't the zeroYieldImpl
> be a simple linear interpolation between the zero yield nodes? In that
> case, I think there is a small bug, fixed by the following patch
>
> 171c171
> <                 return (zeroYields_[n-1]*tn+forwards_[n]*(t-tn))/t;
> ---
>
> >                 return (zeroYields_[n-1]*tn+zeroYields_[n]*(t-tn))/t;
>
> Am I correct?
>
> Regards,
> Sad
>
> Using Tomcat but need to do more? Need to support web services, security?
> Get stuff done quickly with pre-integrated technology to make your job
> easier Download IBM WebSphere Application Server v.1.0.1 based on Apache
> Geronimo
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> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Bug(?) in interpolation of zero yields

[Sadruddin R. <sa...@qu...>]

Hello everyone,

In ql/TermStructures/piecewiseflatforward.cpp, shouldn't the zeroYieldImpl be 
a simple linear interpolation between the zero yield nodes? In that case, I 
think there is a small bug, fixed by the following patch

171c171
<                 return (zeroYields_[n-1]*tn+forwards_[n]*(t-tn))/t;
---
>                 return (zeroYields_[n-1]*tn+zeroYields_[n]*(t-tn))/t;

Am I correct? 

Regards,
Sad

[Quantlib-dev] developer

[Zhuo Y. <zhu...@gm...>]

Dear Sir/Madam,

I am interested in becoming a develper for quantlib. I have a Ph.D. in
statistics.
I have knowledge in stochastic calculus, option pricing and C++ programming.
I am interested in the to-do items in the following fields:
*Monte Carlo *
*Pricing engines *
*Financial Instruments *
*Yield term structures *
*Volatility *
*Credit derivatives *
*Test suite *

Can you tell me how to proceed?
Thanks
Zhuo

[Quantlib-dev] new linear algebra library and memory management improvement

[<fra...@ya...>]

Hi all,
=20
I have carried out some code profiling on the new LFM implementation. (ratc=
het cap pricing using 3 factors)  Results showed that about 38% of the comp=
utation time was spend for dynamic memory allocation (the disposable trick =
saves some of them but not all of them, because a time step computation req=
uires 41 dynamic allocations !).  I have removed all these memory operation=
s by passing a reference toward the result instead of returning it eg: =20
=20
Existing code:  Disposable<Array> LiborForwardModelProcess::drift(Time t, c=
onst Array& x)   =20
My code:     void LiborForwardModelProcess::drift(Time t, const ublas::vect=
or<Real>& x, ublas::vector<Real>& result )
=20
This had improved speed by the expected extent with VC++ 2003 but only by 2=
2% with gcc.      The remaining time consuming operations being linear alge=
bra operations, I have also replaced the existing Matrix/Vector implementat=
ion by the boost uBlas library. This gave pretty good results, indeed, all =
operations but matrix*scalar operation are greatly accelerated. I removed t=
hese operations by embedding them in procedures as follows:
=20
Existing code:      lfmParam_->covariance(result, t, x);        result*=3Dd=
t;   =20
My code:      lfmParam_->covariance(result, t, x, dt);  // dt product is do=
ne inside
=20
Finally the overall gain of speed due to these changes is around 50% with b=
oth VC2003 and gcc.    I'm considering to implement these changes for the w=
hole QuantLib, but before doing so I would like to know your opinion on the=
 subject. I do not see any other way to improve memory management, but I'm =
hesitating between two solutions for the uBlas migration :
Embedding all uBlas code in the existing Array and Matrix classes. The main=
 advantage is that no other file would be altered. However it seems really =
tedious to expose all the nice features of uBlas using this architecture.
Replacing completely all Array and Matrix in the QuantLib code.
I tend to prefer the second solution because it is much neater in my opinio=
n even if it is not the simplest one in the short run. I'm aware that uBlas=
 is not the most efficient linear algebra library available, however profil=
ing shows that it is sufficient for the LFM case (sheer linera algebra oper=
ations accounts for a small part of the computation time). More complex ope=
rations can be performed using ATLAS through uBlas bindings.
Any suggestion/advice are more than  welcome.  =20
 Thanks for your attention,=20
best regards, =20
Fran=E7ois

[Quantlib-dev] [ quantlib-Patches-1510294 ] Variance swap

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

Patches item #1510294, was opened at 2006-06-21 17:41
Message generated for change (Settings changed) made by warrenchou
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1510294&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
Resolution: None
Priority: 5
Submitted By: Warren Chou (warrenchou)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Variance swap

Initial Comment:
Base and vanilla variance swap classes

Monte Carlo and replicating-cost variance swap engine 
classes

Monte Carlo engines checked for consistency with 
implied vol curve; replicating-cost engine checked 
against Derman, et al

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1510294&group_id=12740

[Quantlib-dev] [ quantlib-Patches-1510294 ] Variance swap

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

Patches item #1510294, was opened at 2006-06-21 17:41
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1510294&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
Resolution: None
Priority: 5
Submitted By: Warren Chou (warrenchou)
Assigned to: Nobody/Anonymous (nobody)
Summary: Variance swap

Initial Comment:
Base and vanilla variance swap classes

Monte Carlo and replicating-cost variance swap engine 
classes

Monte Carlo engines checked for consistency with 
implied vol curve; replicating-cost engine checked 
against Derman, et al

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1510294&group_id=12740

Re: [Quantlib-dev] [Quantlib-users] Binomial Engines - Greeks

[Toyin A. <toy...@ho...>]

Also,

If this methodology is correct, then I'm sure the ConvertibleBond framework 
can also benefit from this change...

Toy out...


>From: "Toyin Akin" <toy...@ho...>
>To: lui...@gm...
>CC: qua...@li...,qua...@li...
>Subject: [Quantlib-users] Binomial Engines - Greeks
>Date: Wed, 21 Jun 2006 15:22:13 +0100
>
>
>Hi Luigi,
>
>Normally pricing American options is done accurately via a tree and it's
>hard to believe that Quantlib (well I think this is the case) does not
>provide greeks for this common option type.
>
>Any ideas or suggestions on the best way of enabling the BinomialEngine
>class to ouput the greek results?
>
> >From my 10 minute inspection one idea would be to obtain the process 
>object
>(within the calculate() method of the BinomialEngine.hpp file), extracting
>out the relevant parameter from the process object, bumping the parameter,
>constructing a new process object and then pricing.
>
>In fact the manipulation that I suggest above is already done for normal
>pricing. Thus this would just be a case of repeated construction of more
>(bumped) process objects, repricing and then deducting from the base value.
>
>Do you see a neater way to go about this? (Apart from doing all this
>manipulation at the user level (ie - manipulate the parameters and repeat
>all the calls at the testsuite level).
>
>If the approach I mention is the way to go how soon do you think it can 
>make
>it into QuantLib (that is if this enhancement is also in QuantLibs
>interest)?
>
>Best Regards,
>Toy out...
>
>
>
>
>_______________________________________________
>QuantLib-users mailing list
>Qua...@li...
>https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-dev] Binomial Engines - Greeks

[Toyin A. <toy...@ho...>]

Hi Luigi,

Normally pricing American options is done accurately via a tree and it's 
hard to believe that Quantlib (well I think this is the case) does not 
provide greeks for this common option type.

Any ideas or suggestions on the best way of enabling the BinomialEngine 
class to ouput the greek results?

>From my 10 minute inspection one idea would be to obtain the process object 
(within the calculate() method of the BinomialEngine.hpp file), extracting 
out the relevant parameter from the process object, bumping the parameter, 
constructing a new process object and then pricing.

In fact the manipulation that I suggest above is already done for normal 
pricing. Thus this would just be a case of repeated construction of more 
(bumped) process objects, repricing and then deducting from the base value.

Do you see a neater way to go about this? (Apart from doing all this 
manipulation at the user level (ie - manipulate the parameters and repeat 
all the calls at the testsuite level).

If the approach I mention is the way to go how soon do you think it can make 
it into QuantLib (that is if this enhancement is also in QuantLibs 
interest)?

Best Regards,
Toy out...

[Quantlib-dev] Fast fourier transform?

[Joseph W. <jo...@gn...>]

Anyone working on fast fourier transforms that are compatible with QuantLib?

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

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

Bugs item #1508489, was opened at 2006-06-19 02:29
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1508489&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
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
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

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

You can respond by visiting: 
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