Actual/ActualISMA exception

[Boris.Tschochner]

Hi,
when building my yield curve using the Actual/ActualISMA day count
convention I run into an exception for the
one week period rate. The problem is located in the method
(actualactual.cpp)
   Time ActualActual::ISMA_Impl::yearFraction
when verifying the requirement
   int months = int(0.5+12*double(refPeriodEnd-refPeriodStart)/365);
   QL_REQUIRE(months != 0,
      "number of months does not divide 12 exactly");
For an one week period you get the exception. I don't understand this
requirement, is it a bug or a feature?

Regards,

Boris----------------------------------------------------------------------
Der Austausch von Nachrichten mit HSBC Trinkaus & Burkhardt via E-Mail
dient ausschliesslich Informationszwecken. Rechtsgeschaeftliche
Erklaerungen duerfen ueber dieses Medium nicht ausgetauscht werden.
Verfaelschungen des urspruenglichen Inhaltes dieser Nachricht bei der
Datenuebertragung koennen nicht ausgeschlossen werden.

Correspondence with HSBC Trinkaus & Burkhardt via e-mail is only for
information purposes. This medium is not to be used for the exchange of
legally-binding communications. The falsification of the original content
of this message in the course of data transmission cannot be excluded.

[Sadruddin Rejeb-4]

Hello guys,
I noticed that in New york's calendar, the 11th of November is marked as a
holiday (Veteran's day), but in fact, it is a business day at least for the
NYSE, according to their holiday documents:
http://www.nyse.com/abouthome.html?query=/about/holidayclosings.html

Should it be removed?
Sad

[Marco Marchioro-2]

Hi,
I think you are right and it should be removed.

 From the same web site also,
Sept. 11-14, 2001 (Tues.-Fri.)
Closed as a result of an attack on the World Trade Center. Remained closed
for a total of four days.

Should we introduce these changes into the Calendar?

Marco

At 01:08 PM 4/14/03 +0200, Sad wrote:

>Hello guys,
>I noticed that in New york's calendar, the 11th of November is marked as a
>holiday (Veteran's day), but in fact, it is a business day at least for the
>NYSE, according to their holiday documents:
>http://www.nyse.com/abouthome.html?query=/about/holidayclosings.html
>
>Should it be removed?
>Sad
>
>
>
>-------------------------------------------------------
>This sf.net email is sponsored by:ThinkGeek
>Welcome to geek heaven.
>http://thinkgeek.com/sf
>_______________________________________________
>Quantlib-users mailing list
>[hidden email]
>https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Dirk Eddelbuettel]

On Mon, Apr 14, 2003 at 01:08:33PM +0200, Sad wrote:
> Hello guys,
> I noticed that in New york's calendar, the 11th of November is marked as a
> holiday (Veteran's day), but in fact, it is a business day at least for the
> NYSE, according to their holiday documents:
> http://www.nyse.com/abouthome.html?query=/about/holidayclosings.html
>
> Should it be removed?

There are days when the stock market is closed, but the bond market is open.
This may be one of them.  Would the BMA (bonds) or ISDA (swaps) sites have
calendar/holiday information?

Dirk

--
Wishful thinking can dominate much of the work of a profession for a decade,
but not indefinitely.   -- Robert Shiller, on Efficient Markets models, 2002

[Sadruddin Rejeb-4]

Yep, the BMA recommends a close on the 11th of November. And this
recommendation is followed for example by the CBT.
Also, I noticed that the Good Friday is not implemented in the New York
Calendar, even though it is a holiday for the NYSE.
Sad

On Monday 14 April 2003 15:57, Dirk Eddelbuettel wrote:
>
> There are days when the stock market is closed, but the bond market is
> open. This may be one of them.  Would the BMA (bonds) or ISDA (swaps) sites
> have calendar/holiday information?
>
> Dirk

[Sadruddin Rejeb-4]

Hi,

Same story for Columbus day.
Wouldn't it be better if a calendar was attached to an exchange instead of a
city?

Sad

[Perissin Francesco]

In these situations, I think that one good solution could be to create one calendar for each market when needed (I mean a NewYorkNYSE calendar, a NewYorkBMA etc etc..)

Francesco

-----Original Message-----
From: Sad [[hidden email]]
Sent: Monday, April 14, 2003 4:22 PM
To: [hidden email]
Subject: Re: [Quantlib-users] Veteran's day

Yep, the BMA recommends a close on the 11th of November. And this
recommendation is followed for example by the CBT.
Also, I noticed that the Good Friday is not implemented in the New York
Calendar, even though it is a holiday for the NYSE.
Sad

On Monday 14 April 2003 15:57, Dirk Eddelbuettel wrote:
>
> There are days when the stock market is closed, but the bond market is
> open. This may be one of them.  Would the BMA (bonds) or ISDA (swaps) sites
> have calendar/holiday information?
>
> Dirk

-------------------------------------------------------
This sf.net email is sponsored by:ThinkGeek
Welcome to geek heaven.
http://thinkgeek.com/sf
_______________________________________________
Quantlib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

############################### DISCLAIMER #################################

This message (including any attachments) is confidential and may be
privileged. If you have received it by mistake please notify the sender by
return e-mail and delete this message from your system. Any unauthorised
use or dissemination of this message in whole or in part is strictly
prohibited. Please note that e-mails are susceptible to change. Banca del
Gottardo (including its group companies) shall not be liable for the
improper or incomplete transmission of the information contained in this
communication nor for any delay in its receipt or damage to your system.
Banca del Gottardo (or its group companies) does not guarantee that the
integrity of this communication has been maintained nor that this
communication is free of viruses, interceptions or interference.

############################################################################

[Michele Ravani-2]

Hi

it was raised a while ago in the list.
In principle, calendars should be mapped to exchanges and products, not
locations.
How does it work for stuff like settlement? If I remember correctly, I've
seen the SWX closed for trading, but open for settlement in given
currencies.

--
Michele Ravani                  [hidden email]
"Those who live hoping, die singing" My Gran