Question on USD libor fixing dates

[Jay Walters]

This code/comment from the file libor.cpp in QL 0.8.1

       // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
        // For all currencies other than EUR and GBP the period between
        // Fixing Date and Value Date will be two London business days
        // after the Fixing Date, or if that day is not both a London
        // business day and a business day in the principal financial centre
>>
        // of the currency concerned, the next following day which is a
        // business day in both centres shall be the Value Date.
>>
        Date d = fixingCalendar().advance(fixingDate, fixingDays_, Days);
        return joinBusinessDays_.adjust(d);

Given that joinBusinessDays is the union of business days and the fact that the comment says a business day in both centers, shouldn't this use joinHolidays?

The above logic allows a USD Libor swap to settle on American Thanksgiving, which I don't think is correct.

Jay
   

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[anthony.nguyen]

Hello,

I think that you could get American Thanksgiving on the first line
      Date d = fixingCalendar().advance(fixingDate, fixingDays_, Days);

But this line would adjust on the jointure of the calendars which would
give you a day which cannot be Thanksgiving.
        return joinBusinessDays_.adjust(d);

Am I wrong ?

Personally I use the same logic for LIBOR fixings at work.

                                           
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                                               on USD libor fixing dates  
                                                                           
                                                                           
                                                                           
                                                                           
                                                                           
                                                                           




This code/comment from the file libor.cpp in QL 0.8.1

       // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
        // For all currencies other than EUR and GBP the period between
        // Fixing Date and Value Date will be two London business days
        // after the Fixing Date, or if that day is not both a London
        // business day and a business day in the principal financial
centre
>>
        // of the currency concerned, the next following day which is a
        // business day in both centres shall be the Value Date.
>>
        Date d = fixingCalendar().advance(fixingDate, fixingDays_, Days);
        return joinBusinessDays_.adjust(d);

Given that joinBusinessDays is the union of business days and the fact that
the comment says a business day in both centers, shouldn't this use
joinHolidays?

The above logic allows a USD Libor swap to settle on American Thanksgiving,
which I don't think is correct.

Jay


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[Jay Walters]

The first line advances on the fixing calendar, for USD Libor this is United Kingdom and US Thanksgiving is a valid fixing date for USD Libor. The next line uses the joinBusiness days calendar which uses the rule that if the day is a business day in any calendar then it is a business day - this is the opposite of the rule specified by the BBA on their website which is that it must be a business day in both the United Kingdom and the United States for it to be a valid value date.

Jay

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[Luigi Ballabio]

On Thu, 2007-11-15 at 11:30 -0500, Jay Walters wrote:
> The first line advances on the fixing calendar, for USD Libor this is
> United Kingdom and US Thanksgiving is a valid fixing date for USD
> Libor. The next line uses the joinBusiness days calendar which uses
> the rule that if the day is a business day in any calendar then it is
> a business day - this is the opposite of the rule specified by the BBA
> on their website which is that it must be a business day in both the
> United Kingdom and the United States for it to be a valid value date.

This is fixed now---thanks for the heads-up.

Luigi


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