Negative time when bootstraping day before holidays

[Irakli Machabeli-2]

Same problem as reported by others. Joint calendar (US+UK). Every day before
holiday I get an bootstrap error with negative time for both swap and
treasury curves. Qiuantlib version 0.9.6.

Has anyone solved this issue?






From: Nathan Abbott <nkabbott <at> gmail.com>
Subject: Labor Day curve problem
Newsgroups: gmane.comp.finance.quantlib.user
Date: 2008-09-22 22:48:01 GMT (17 weeks and 15 hours ago)

I have having a problem with evaluating a swap near Labor Day. I can
reproduce it with the swap example by changing the calendar and the index.
Here is the modified swap example.
....

All I did is change to evaluation date to August 28th, 2008, change the
calendar to JointCalendar(UnitedStates(UnitedStates::NYSE),
UnitedKingdom(UnitedKingdom::Exchange)), and change the the index from
Euribor6M to USDLibor(6*Months).

The program seems to be trying to calculate the discount factor on 09/01/08
which is Labor Day in the USA.  Am I doing something wrong in setting up the
curve? Any help would be appreciated.



 


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[Luigi Ballabio]

On Tue, 2009-01-20 at 09:30 -0500, Irakli Machabeli wrote:
> Same problem as reported by others. Joint calendar (US+UK). Every day before
> holiday I get an bootstrap error with negative time for both swap and
> treasury curves. Qiuantlib version 0.9.6.
>
> Has anyone solved this issue?

It might be fixed in 0.9.7.  May you check it?

Luigi


--

Innovation is hard to schedule.
-- Dan Fylstra



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[Irakli Machabeli-2]

Luigi,

Please let me know what files are included in the fix. I'll get source code
and recompile.
Since I'm using quantlib from C# I had to make changes to SWIG interface
files, due to this upgrade to new version takes some time.

Irakli


--------------------------------------------------
From: "Luigi Ballabio" <[hidden email]>
Sent: Tuesday, February 03, 2009 5:27 AM
To: "Irakli Machabeli" <[hidden email]>
Cc: "quantlib_users" <[hidden email]>
Subject: Re: [Quantlib-users] Negative time when bootstraping day before
holidays

> On Tue, 2009-01-20 at 09:30 -0500, Irakli Machabeli wrote:
>> Same problem as reported by others. Joint calendar (US+UK). Every day
>> before
>> holiday I get an bootstrap error with negative time for both swap and
>> treasury curves. Qiuantlib version 0.9.6.
>>
>> Has anyone solved this issue?
>
> It might be fixed in 0.9.7.  May you check it?
>
> Luigi
>
>
> --
>
> Innovation is hard to schedule.
> -- Dan Fylstra
>
>
>

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build responsive, highly engaging applications that combine the power of local
resources and data with the reach of the web. Download the Adobe AIR SDK and
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