Business/252 test suite

[Piter Dias-3]

Luigi,

I have finished Brazilian Business/252 test suite and upload it into patch
mamnager. All files regarding Business/252 are in Business252.zip uploaded
file.
I also sent you a copy.
Let me know if you need something else.

Regards,


Piter Dias
[hidden email]

[Luigi Ballabio]

On Tue, 2006-09-26 at 09:00 -0300, Piter Dias wrote:
> I have finished Brazilian Business/252 test suite and upload it into patch
> mamnager. All files regarding Business/252 are in Business252.zip uploaded
> file.

Ok, I'm on it.

Thanks,
        Luigi


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

Cogito ergo I'm right and you're wrong.
-- Blair Houghton

[Toyin Akin]

Hi all,

I'm trying to strip a yieldcurve with day tenor formats (ie - 9D for 9
days).

I expected this to be 9 calendar days forward with an adjustment on the 9th
date.
However quantlib performs 9 market days forward.

The reason I find using the day tenor format useful is in the case where we
have both deposits and futures within the curve and we do not want deposits
to overlap futures (ie - no deposit end date must exceed the first futures
contract as we regard the futures contract more liquid.).

Thus I remove all the deposit instruments that exceed the first futures
date, however one may find an undefined gap in the curve between the last
deposit instrument remaining and the first futures contract. I thus add a
deposit contract starting from spot up to the first futures contract and the
rate is taken as an interpolation of the original deposit rates.

In my case, I currently have a deposit tenor of 153D, but quantlib will
interpret this as market days and not calendar days. In fact it looks like
the logic within the advance() method of the calendar class always
interprets the day tenor as market days.

Is it possible to have a calendar days movement option with a final
adjustment like the Week, Month, Year tenor cases?

Thanks in advance,
Toyin Akin.

[Guowen Han]

Hi Toyin,

The default BusinessDayConvention is set to Following for the advance() function. If you want calendar days, you should use Unadjusted.
For example:
        your_target_date = calendar.advance(your_original_date, period(9, Days), Unadjusted))

Hope it will solve your problem.

Guowen

"Toyin Akin" <[hidden email]>
Sent by: [hidden email]

09/26/2006 11:15 PM

To	[hidden email]
cc	[hidden email], [hidden email]
Subject	[Quantlib-users] Stripping a YieldCurve with day tenor formats...

Hi all,

I'm trying to strip a yieldcurve with day tenor formats (ie - 9D for 9
days).

I expected this to be 9 calendar days forward with an adjustment on the 9th
date.
However quantlib performs 9 market days forward.

The reason I find using the day tenor format useful is in the case where we
have both deposits and futures within the curve and we do not want deposits
to overlap futures (ie - no deposit end date must exceed the first futures
contract as we regard the futures contract more liquid.).

Thus I remove all the deposit instruments that exceed the first futures
date, however one may find an undefined gap in the curve between the last
deposit instrument remaining and the first futures contract. I thus add a
deposit contract starting from spot up to the first futures contract and the
rate is taken as an interpolation of the original deposit rates.

In my case, I currently have a deposit tenor of 153D, but quantlib will
interpret this as market days and not calendar days. In fact it looks like
the logic within the advance() method of the calendar class always
interprets the day tenor as market days.

Is it possible to have a calendar days movement option with a final
adjustment like the Week, Month, Year tenor cases?

Thanks in advance,
Toyin Akin.



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[Toyin Akin]

Hi,

Actually that will not work because the BusinessDayConvention parameter is
not used by the Day Tenor type logic within the advance() function.

The advance() function always checks for holidays regardless of the value of
the BusinessDayConvention parameter.

Maybe this is where the bug lies, but this is not enough...

You really want to move the date X calendar days forward and then adjust for
a business day. Thus setting the BusinessDayConvention parameter to
Unadjusted and actually using this value within the advance() logic still
leaves you will a day that may land on a holiday (moving X calendar days but
not adjusted at the end). But then again, that is the definition of calendar
days eh?

In my case the adjustment at the end does not apply because I am moving to
an IMM futures date.

But what about the general case?
Are there cases where such movement of calendar days and then an adjustment
at the end required (for day tenor types)? Maybe the user under this
scenario applies the adjustment after the calendar day movement him/herself.

Anyway, basically calendar days are not possible at the mo...

Toy out...

>From: Guowen Han <[hidden email]>
>To: "Toyin Akin" <[hidden email]>
>CC:
>[hidden email],[hidden email],[hidden email],[hidden email]
>Subject: Re: [Quantlib-users] Stripping a YieldCurve with day tenor
>formats...
>Date: Wed, 27 Sep 2006 08:41:53 -0400
>
>Hi Toyin,
>
>The default BusinessDayConvention is set to Following for the advance()
>function. If you want calendar days, you should use Unadjusted.
>For example:
>         your_target_date = calendar.advance(your_original_date, period(9,
>Days), Unadjusted))
>
>Hope it will solve your problem.
>
>Guowen
>
>
>
>"Toyin Akin" <[hidden email]>
>Sent by: [hidden email]
>09/26/2006 11:15 PM
>
>To
>[hidden email]
>cc
>[hidden email], [hidden email]
>Subject
>[Quantlib-users] Stripping a YieldCurve with day tenor formats...
>
>
>
>
>
>
>Hi all,
>
>I'm trying to strip a yieldcurve with day tenor formats (ie - 9D for 9
>days).
>
>I expected this to be 9 calendar days forward with an adjustment on the
>9th
>date.
>However quantlib performs 9 market days forward.
>
>The reason I find using the day tenor format useful is in the case where
>we
>have both deposits and futures within the curve and we do not want
>deposits
>to overlap futures (ie - no deposit end date must exceed the first futures
>
>contract as we regard the futures contract more liquid.).
>
>Thus I remove all the deposit instruments that exceed the first futures
>date, however one may find an undefined gap in the curve between the last
>deposit instrument remaining and the first futures contract. I thus add a
>deposit contract starting from spot up to the first futures contract and
>the
>rate is taken as an interpolation of the original deposit rates.
>
>In my case, I currently have a deposit tenor of 153D, but quantlib will
>interpret this as market days and not calendar days. In fact it looks like
>
>the logic within the advance() method of the calendar class always
>interprets the day tenor as market days.
>
>Is it possible to have a calendar days movement option with a final
>adjustment like the Week, Month, Year tenor cases?
>
>Thanks in advance,
>Toyin Akin.
>
>
>
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>Join SourceForge.net's Techsay panel and you'll get the chance to share
>your
>opinions on IT & business topics through brief surveys -- and earn cash
>http://www.techsay.com/default.php?page=join.php&p=sourceforge&CID=DEVDEV
>_______________________________________________
>QuantLib-users mailing list
>[hidden email]
>https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
>
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>confidential and intended solely for the use of the individual or
>entity to whom they are addressed. If you have received this email
>in error, please notify us immediately and delete the email and any
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