Business Days problem in IborIndex maturity
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Business Days problem in IborIndex maturity
 
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Hi all, I want to build an index with a specified maturity using “iborindex”, but if I want to define the tenor using business days I have some errors:
I have this error every time that the number of business days is equal to a multiple of 7. This is due to the fact that the function iborindex use this code to determine its maturity: (iborindex.cpp lines 54-59): Date IborIndex::maturityDate(const Date& valueDate)
const {
return fixingCalendar().advance(valueDate, tenor_, convention_, endOfMonth_); } And “tenor” is of the type: const Period& tenor. The problem is that in file period.cpp, lines 110-114, we have: case Days: if (!(length_%7)) { length_/=7; units_ = Weeks; } And so if we have a number of business day equals to a multiple of 7 we have a different behavior. How can we solve this problem? Should we have to distinguish between days and business days? Thank you in advance Paolo Prima di stampare, pensa all'ambiente ** Think about the environment before printing Il presente messaggio, inclusi gli eventuali allegati, ha natura aziendale e potrebbe contenere informazioni confidenziali e/o riservate. Chiunque lo ricevesse per errore, è pregato di avvisare tempestivamente il mittente e di cancellarlo. E’ strettamente vietata qualsiasi forma di utilizzo, riproduzione o diffusione non autorizzata del contenuto di questo messaggio o di parte di esso. 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Re: Business Days problem in IborIndex maturity
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Hi Paolo, your request seems to be to create an ibor index without normalizing the tenor (which is done in interestrateindex.cpp L38). This option would be easy to add, e.g. with an addtional parameter ... bool normalizedTenor = true ... in the interest rate index constructor and the ibor index constructor. I guess there might be voices against it, saying that there is no x-ibor index with 7 business days tenor (or is there ?). On the other hand, if it is useful, why not. best regards, see you soon Peter On 10 October 2014 17:41, MAZZOCCHI PAOLO <[hidden email]> wrote:
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Re: Business Days problem in IborIndex maturity
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with Paolo we agreed that for the time being to suppress period normalization is an effective remedy and a proper bug fix: 7D is not 1W, since in QuantLib D are meant to be business days. Then one could object that D should be calendar days to be homogeneous with W, M, and Y, and business days should be a different BD enumeration value. But this is left for that list of non backward compatible fixes that I'm sure Luigi is maintaining somewhere for QuantLib 2.0 :-) On Sat, Oct 11, 2014 at 8:48 PM, Peter Caspers <[hidden email]> wrote:
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Re: Business Days problem in IborIndex maturity
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Hi Ferdinando,
Maybe a backward compatible fix is to add a new type called Calendar Day ( aka, CD)?
Regards， Cheng 2014-10-14 1:04 GMT+08:00 Ferdinando M. Ametrano <[hidden email]>:
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Re: Business Days problem in IborIndex maturity
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It would be tricky to get correct. Currently, the "Days" enumeration works in some functions as calendar days and in some others as business days. A less confusing (and possibly backward compatible) option would be to add both CalendarDays and BusinessDays, and deprecate Days (which would continue to work as it does). For the time being, inhibiting normalization of days to weeks will fix the immediate problem. Luigi On Wed, Oct 15, 2014 at 3:47 AM, Cheng Li <[hidden email]> wrote:
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