NewYork Holiday calendar

[Andre Louw-2]

Anybody!!!!

I am urgently trying to establish if Friday 31/12/2004 is a holiday, according to our forward brokers it's not (and I'm inclined to go with them), but QuantLib has it as one!

Thanx

Andre

[Dirk Eddelbuettel]

On Mon, Mar 29, 2004 at 05:53:05PM +0200, Andre Louw wrote:
> Anybody!!!!

Please chill. We're all volunteers here.
 
> I am urgently trying to establish if Friday 31/12/2004 is a holiday,
> according to our forward brokers it's not (and I'm inclined to go with
> them), but QuantLib has it as one!

For what it;s worth, Bloomberg's CDR function does not show it as a 2004
holiday for the exchanges either, but the US Govt Bond market is listed as
having an early close at 2:00pm (i.e. no holiday either).

Hth, Dirk

--
The relationship between the computed price and reality is as yet unknown.  
                                             -- From the pac(8) manual page

[Luigi Ballabio-2]

On 2004.03.29 18:16, Dirk Eddelbuettel wrote:
> On Mon, Mar 29, 2004 at 05:53:05PM +0200, Andre Louw wrote:
> > I am urgently trying to establish if Friday 31/12/2004 is a  
> holiday,
>
> For what it;s worth, Bloomberg's CDR function does not show it as a
> 2004
> holiday for the exchanges either, but the US Govt Bond market is
> listed as
> having an early close at 2:00pm (i.e. no holiday either).

Hi,
        the real problem is that there's no single New York set of  
holidays---they change depending on the market (exchanges, bonds...)  
We'll try and cope with that in the future. In the meantime, just  
recompile your copy of the library with the holidays you need.

Later,
        Luigi

[Ronald Simmons]

Has anyone taken a look at FpML's calendar handling in this regard.  
They incorporate the notion of Business Center, one of whose attributes
would include a calendar.  Hence you can have an NYSE business center
for stock market holidays, a US Fed business center (to get national
credit market holidays) and a Massachusetts Bank business center to
pick up things like Patriot's Day if you have a Boston counterparty.

I also like the mechanisms they use for date resolution etc.  The plan
where I work is to represent all securities (not just swaps) with
elements drawn from FpML as appropriate.

Just a thought.

rvs

On Mar 29, 2004, at 11:52 AM, Luigi Ballabio wrote:

> On 2004.03.29 18:16, Dirk Eddelbuettel wrote:
>> On Mon, Mar 29, 2004 at 05:53:05PM +0200, Andre Louw wrote:
>> > I am urgently trying to establish if Friday 31/12/2004 is a holiday,
>> For what it;s worth, Bloomberg's CDR function does not show it as a
>> 2004
>> holiday for the exchanges either, but the US Govt Bond market is
>> listed as
>> having an early close at 2:00pm (i.e. no holiday either).
>
> Hi,
> the real problem is that there's no single New York set of
> holidays---they change depending on the market (exchanges, bonds...)
> We'll try and cope with that in the future. In the meantime, just
> recompile your copy of the library with the holidays you need.
>
> Later,
> Luigi
>
>
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[Ferdinando Ametrano-3]

Hi Ronald

>Has anyone taken a look at FpML's calendar handling
>They incorporate the notion of Business Center, one of whose attributes
>would include a calendar.

I will take a look at it. Could you anticipate what a Business Center has
more than a calendar, (that is a holiday list)?

thank you



ciao -- Nando