BUG: wrong calendar for USD Libor ON fixing
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Of course, I might be wrong but to my knowledge USD Libor fixings are based on the US public holidays (i.e. settlement calendar) and not NYSE calendar.
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Re: BUG: wrong calendar for USD Libor ON fixing
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On Wed, 2008-10-15 at 07:40 -0700, snovik wrote:
> Of course, I might be wrong but to my knowledge USD Libor fixings are based > on the US public holidays (i.e. settlement calendar) and not NYSE calendar. Hmm. I've checked the official Euribor page at <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412> and it talks about business days "in the principal financial centre of the currency concerned". Any expert here that can say a final word? Luigi -- There is no likelihood man can ever tap the power of the atom. -- Robert Millikan, Nobel Prize in Physics, 1923 ------------------------------------------------------------------------- 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 [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: BUG: wrong calendar for USD Libor ON fixing
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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? Simon On Thu, Oct 16, 2008 at 4:01 PM, Luigi Ballabio <[hidden email]> wrote:
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Re: BUG: wrong calendar for USD Libor ON fixing
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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 [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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easy, though the other way round: 13.10.2008 - business day for NYSE but holiday for Settlement
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Re: BUG: wrong calendar for USD Libor ON fixing
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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=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: BUG: wrong calendar for USD Libor ON fixing
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In reply to this post by snovik
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 <[hidden email]> wrote:
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Re: BUG: wrong calendar for USD Libor ON fixing
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In reply to this post by Luigi Ballabio
Yes, USD-Libor fixed on 13th October... value of 4.7525 for 3M.
On Wed, Oct 22, 2008 at 10:14 AM, Luigi Ballabio <[hidden email]> wrote:
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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
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Re: BUG: wrong calendar for USD Libor ON fixing
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In reply to this post by Simon Ibbotson
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?
Kind Regards, Peter Denton British Bankers' Association (BBA)
'The voice of banking & financial services' Pinners Hall E: [hidden email]
------------------------------------------------------------------------- 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 [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: BUG: wrong calendar for USD Libor ON fixing
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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: [hidden email] > W: www.bba.org.uk > > > > > > > ------------------------------------------------------------------------- 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 [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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