Re: R: error xibormanager.cpp:55: dummy6m act/act (I SDA) history not loaded

[Xavier.Abulker]

Enrico,
thank you very much for this answer it solved my problem, I'm going to adjust the settlement date as you said.
Regards
Xavier

Michelotti Enrico <[hidden email]> 01/10/2004 13:04

To:        "'[hidden email]'" <[hidden email]>         cc:                 Subject:        R: [Quantlib-users] error xibormanager.cpp:55: dummy6m act/act (I        SDA)  history not loaded

yes.
the problem is that when the xibor tries to compute the fixing rate
it goes back to the fixing date
(usaully 2 days prior the settlement date inn the TARGET calendar).
If it arrives at a date which is prior to the curve reference date (or todaysdate) it returns the error message you got.
You can do two things:
1- load a vector of past fixing (but i think it is not your case)
2- check the settlement days in order to make the xibor to come back on the fixing date which should be
greater or equal to the actual todays date.
 
I hope this could help
 
enrico
 
ps: sorry if i have replied directly to you but i cannot post to the mailing list actually
 
-----Messaggio originale-----
Da: [hidden email] [mailto:[hidden email]]
Inviato: venerdì 1 ottobre 2004 12:55
A: [hidden email]
Oggetto: [Quantlib-users] error xibormanager.cpp:55: dummy6m act/act (ISDA) history not loaded


Hello,
I'm using Quantlib 0.3.7 and in the example swapvaluation.cpp I set:

Calendar calendar = Tokyo();
Date todaysDate(20, September, 2004);
Date settlementDate(22, September, 2004);

The 20, September, 2004 is not a business for the calendar tokyo and I think this is why I receive the error:

" error xibormanager.cpp:55: dummy6m act/act (ISDA) history not loaded " in  NPV = spot5YearSwap.NPV();

Do you know how this error can be avoided keeping the same todaysDate(20, September, 2004); and  Date settlementDate(22, September, 2004);?

Thank you for your help

Xavier

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