Errors in USDLibor implementation?

[Daniele De Francesco-2]

Hi all,

I was reading the definition of the libor rates at
http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412
And the BBA states that the calendar of holidays used when the currency is
not EUR of GBP is a combined calendar of London and the major financial
center of the currency in question.

[Wujiang Lou]

Normally one needs an End_of_Month flag. When it's off, advance by  number of months; when it's on, align to month end after advancing months.
A fix will make it more "industrial strength" lib.

Daniele De Francesco wrote:

Hi all,

I was reading the definition of the libor rates at
http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412
And the BBA states that the calendar of holidays used when the currency is
not EUR of GBP is a combined calendar of London and the major financial
center of the currency in question.
From what I can see even in the most recent CVS versions, the calendar is
simply the us exchange calendar.

Also... A 1 month rate from the end of a month is defined to be a rate until
the end of the next month. According to the QuantLib implementation we are
simply advancing using ModFollow. This seems to be a problem if you look at
BBA's example fixing date date of Feb 28, whose maturity for the deposit
should be March 31st and not March 28th.

Am I misinterpreting things or is this really something that needs a fix?
-Daniele

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[Daniele De Francesco-2]

Right.... But I'm saying that in the case of USDLibor we don't need a flag,
we know that the rolling is really a combinantion of end_of_month and
modFollow:
when the value date is on the last day of the month we use end_of_month and
otherwise modFollow.

It's weird but I think the fixing() method of USDLibor (and probably many
other indices) should be hardcoded according to these specs, which would
mean changing the declaration of fixing() in Xibor to be virtual so that it
can be overridden in USDLibor (and other indices that BBA defines)

I would also like to amend what I said before; one of the senteces should
read as follows:

"This seems to be a problem if you look at
BBA's example fixing value date of Feb 28, whose maturity for the deposit
should be March 31st and not March 28th. "

Thoughts ?

-Daniele



-----Original Message-----
From: Wujiang Lou [mailto:[hidden email]]
Sent: Monday, June 28, 2004 1:57 PM
To: Daniele De Francesco
Cc: '[hidden email]'
Subject: Re: [Quantlib-users] Errors in USDLibor implementation?


Normally one needs an End_of_Month flag. When it's off, advance by  number
of months; when it's on, align to month end after advancing months.
A fix will make it more "industrial strength" lib.


Daniele De Francesco wrote:
Hi all,
I was reading the definition of the libor rates at
http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 
And the BBA states that the calendar of holidays used when the currency is
not EUR of GBP is a combined calendar of London and the major financial
center of the currency in question.