RE: Silly Question1: Business Day and Cal endars

[Perissin Francesco]

Hi
>What defines a business day from a pricing point of view?
>A day where a market is open for trading or a day where
>settlements can be performed in a given currency, or both?

Both, and the pricing can be influenced by this.

>On the other hand, the exchanges are often and increasingly deviating from
>national holidays

Correct, the best thing should be to add these exchange-driven calendars.
But on intereset rates and fx products, the national holidays are still
used, so a complete system should implement both types of calendars.


Bye
Francesco





-----Original Message-----
From: Michele Ravani [mailto:[hidden email]]
Sent: Monday, September 09, 2002 11:50 PM
To: [hidden email]
Subject: [Quantlib-users] Silly Question1: Business Day and Calendars



Hi

What defines a business day from a pricing point of view?
A day where a market is open for trading or a day where
settlements can be performed in a given currency, or both?

Does this matter?
If yes, why? (Well, if no, why too)

There are exchanges like Virt-X in London, which define Currency Holidays,
i.e. days where transactions in the given currency are not settled.

On the other hand, the exchanges are often and increasingly deviating from
national holidays, and may also have opening times/dates which depend on
the type of the traded instrument (now this is really pedantic) so defining
calendars based on geographic locations has some limits.

Shouldn't calendars be exchange and settlement currency based? E.g. instead
of a Zurich calendar, we would have a SWX/CHF one.
Or getting even more paranoid, also instrument type based?`

Ciao

--
Michele Ravani                  [hidden email]
"Those who live hoping, die singing" My Gran




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