Menu
▾
▴
quantlib-dev
|
From: Richard G. <rgo...@ya...> - 2007-09-02 20:07:42
|
Hi guys, I implemented an Option valuation procedure written in Java and I needed to calculate the working days. As I'm brazilian, I started with Brazilian calendar. In QuantLib, it is defined here http://quantlib.org/reference/class_quant_lib_1_1_brazil.html It is correct, except that BOVESPA (the brazilian exchange house) will be closed on these dates as well: 25-January : a municipal holiday 09-July : a state holiday My question is: Shouldn't we consider all dates when the exchange house will be closed? Thanks -- Richard Gomes |
|
From: Piter D. <pit...@ma...> - 2007-09-03 00:05:02
|
Richard, I made this calendar based on Banco Central´s one in order to work with some fixed income instruments You could add São Paulo one (people already do it for another countries). So we would have Bacen and Bovespa ones. That is the easy part. However, fixed income always follows Banco Central rules. So the interest should follow Banco Central one. I another hand you will have stock price following Bovespa one. I never thought about that once BM&F (derivatives Exchange) prices always follow Banco Central for calculation. I never played to much with Brazilian stock options. Let me know how do you plan to deal with this two calendars in your model. Regards, Piter Dias pit...@ca... |
|
From: Piter D. <pit...@ca...> - 2007-09-03 00:01:46
|
Richard, I made this calendar based on Banco Central´s one in order to work with some fixed income instruments You could add São Paulo one (people already do it for another countries). So we would have Bacen and Bovespa ones. That is the easy part. However, fixed income always follows Banco Central rules. So the interest should follow Banco Central one. I another hand you will have stock price following Bovespa one. I never thought about that once BM&F (derivatives Exchange) prices always follow Banco Central for calculation. I never played to much with Brazilian stock options. Let me know how do you plan to deal with this two calendars in your model. Regards, Piter Dias pit...@ca... |
|
From: Toyin A. <toy...@ho...> - 2007-09-03 12:30:31
|
Hi Richard, If you take a look at the US or UK calendar classes, there are examples of = implementing more than one holiday schedule within the same financial locat= ion. In the case of UK (financial location), I believe there are settlement= as well as Metals holiday rules.You can, if you wish, use this as an examp= le for adding a new holiday schedule.Toy out.> To: qua...@li...= eforge.net> From: rgo...@ya...> Date: Sun, 2 Sep 2007 21:13:03 +0= 100> Subject: [Quantlib-dev] about calendars> > Hi guys,> > I implemented a= n Option valuation procedure written in Java and I needed to> calculate the= working days. As I'm brazilian, I started with Brazilian> calendar.> > In = QuantLib, it is defined here> http://quantlib.org/reference/class_quant_lib= _1_1_brazil.html> > It is correct, except that BOVESPA (the brazilian excha= nge house) will be> closed on these dates as well:> > 25-January : a munici= pal holiday> 09-July : a state holiday> > My question is: Shouldn't we cons= ider all dates when the exchange house will> be closed?> > Thanks> > -- > R= ichard Gomes> > > ---------------------------------------------------------= ----------------> This SF.net email is sponsored by: Splunk Inc.> Still gre= pping through log files to find problems? Stop.> Now Search log events and = configuration files using AJAX and a browser.> Download your FREE copy of S= plunk now >> http://get.splunk.com/> ______________________________________= _________> QuantLib-dev mailing list> Qua...@li...> h= ttps://lists.sourceforge.net/lists/listinfo/quantlib-dev _________________________________________________________________ Get free emoticon packs and customisation from Windows Live.=20 http://www.pimpmylive.co.uk= |
|
From: Luigi B. <lui...@gm...> - 2007-09-03 12:40:28
|
On Mon, 2007-09-03 at 12:57 +0100, Toyin Akin wrote: > If you take a look at the US or UK calendar classes, there are > examples of implementing more than one holiday schedule within the > same financial location. Right. In your case, there would be Brazil::BACEN and Brazil::BACESPA calendars. > You can, if you wish, use this as an example for adding a new holiday > schedule. And of course, we'll be happy to add your patch to the library if you were to contribute it. Later, Luigi -- Do the right thing. It will gratify some people and astonish the rest. -- Mark Twain |
|
From: Richard G. <rgo...@ya...> - 2007-09-03 14:51:21
|
Luigi Ballabio wrote: > On Mon, 2007-09-03 at 12:57 +0100, Toyin Akin wrote: >> If you take a look at the US or UK calendar classes, there are >> examples of implementing more than one holiday schedule within the >> same financial location. > > Right. In your case, there would be Brazil::BACEN and Brazil::BACESPA > calendars. > >> You can, if you wish, use this as an example for adding a new holiday >> schedule. > > And of course, we'll be happy to add your patch to the library if you > were to contribute it. > > Later, > Luigi > > I'll be proud to contribute. Thanks Richard |
|
From: Toyin A. <toy...@ho...> - 2007-09-03 14:34:53
|
Hi Richard, =20 If you take a look at the US or UK calendar classes, there are examples of = implementing more than one holiday schedule within the same financial locat= ion. =20 In the case of UK (financial location), I believe there are settlement as w= ell as Metals holiday rules. =20 You can, if you wish, use this as an example for adding a new holiday sched= ule. =20 Toy out. > To: qua...@li...> From: rgo...@ya...> Dat= e: Sun, 2 Sep 2007 21:13:03 +0100> Subject: [Quantlib-dev] about calendars>= > Hi guys,> > I implemented an Option valuation procedure written in Java = and I needed to> calculate the working days. As I'm brazilian, I started wi= th Brazilian> calendar.> > In QuantLib, it is defined here> http://quantlib= .org/reference/class_quant_lib_1_1_brazil.html> > It is correct, except tha= t BOVESPA (the brazilian exchange house) will be> closed on these dates as = well:> > 25-January : a municipal holiday> 09-July : a state holiday> > My = question is: Shouldn't we consider all dates when the exchange house will> = be closed?> > Thanks> > -- > Richard Gomes> > > ---------------------------= ----------------------------------------------> This SF.net email is sponso= red by: Splunk Inc.> Still grepping through log files to find problems? Sto= p.> Now Search log events and configuration files using AJAX and a browser.= > Download your FREE copy of Splunk now >> http://get.splunk.com/> ________= _______________________________________> QuantLib-dev mailing list> QuantLi= b-...@li...> https://lists.sourceforge.net/lists/listinfo/q= uantlib-dev _________________________________________________________________ 100=92s of Music vouchers to be won with MSN Music https://www.musicmashup.co.uk= |
