Holidays and bootstrapping a curve

[Jeff Burnett]

I have a general question about how to handle holidays when one is bootstrapping a yield curve. This has been addressed before, but I don't think the matter is entirely settled (at least for me). Here is the situation. I am trying to bootstrap a curve in the US.

April 29, 2005 (Fri): Good day in London and US

May 2, 2005 (Mon): Holiday in London, good day in US

Thus, I have libor rates for April 29 and futures and swap quotes for May 2. I have built a joint calendar with US and UK holidays. Then I have followed the swapvaluation example and bootstrapped a curve. I'll supply code if anyone wants to see it, but it is honestly just the example with the addition of the joint calendar and whatever changes are necessary to make a US curve.

When I try to calc a fwd swap I get the error:

"1st iteration: failed at 1st instrument, maturity May 11th, 2005, reference date May 4th, 2005: Missing no-fix1W Actual/360 fixing for April 29th, 2005"

It has been suggested that I get the ibor index and call addFixing, but I don't think this applies in this case because I am not just missing the 3m rate, I'm missing all my depo rates.

How does one do this correctly? I have tried passing a calendar set to April 29 when using the DepositRateHelper, but that didn't help. Do I build part of the curve and then change the eval date? I am truly stumped and appreciate any help with this. 

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[Simon Ibbotson-2]

Interesting question Jeff,

 

The question is deeper than it appears. If it is a good day in the US, they will be trading swaps across there. However, it is the USD Libor market you’re interested in.

 

Personally, I’d try to calculate the forward rates from the USD Libor curve from April 29^th, then shift those rates by the amount that the USD curve has changed during the day of May 2^nd as a proxy.

 

I doubt that there’s anything in QuantLib to do anything like this. Anyone know?

 

 

 

---

From: [hidden email] [mailto:[hidden email]]
Sent: 25 January 2011 19:13
To: [hidden email]
Subject: [Quantlib-users] Holidays and bootstrapping a curve

 

I have a general question about how to handle holidays when one is bootstrapping a yield curve. This has been addressed before, but I don't think the matter is entirely settled (at least for me). Here is the situation. I am trying to bootstrap a curve in the US.

 

April 29, 2005 (Fri): Good day in London and US

May 2, 2005 (Mon): Holiday in London, good day in US

 

Thus, I have libor rates for April 29 and futures and swap quotes for May 2. I have built a joint calendar with US and UK holidays. Then I have followed the swapvaluation example and bootstrapped a curve. I'll supply code if anyone wants to see it, but it is honestly just the example with the addition of the joint calendar and whatever changes are necessary to make a US curve.

 

When I try to calc a fwd swap I get the error:

 

"1st iteration: failed at 1st instrument, maturity May 11th, 2005, reference date May 4th, 2005: Missing no-fix1W Actual/360 fixing for April 29th, 2005"

 

It has been suggested that I get the ibor index and call addFixing, but I don't think this applies in this case because I am not just missing the 3m rate, I'm missing all my depo rates.

 

How does one do this correctly? I have tried passing a calendar set to April 29 when using the DepositRateHelper, but that didn't help. Do I build part of the curve and then change the eval date? I am truly stumped and appreciate any help with this. 

 

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