Royal Wedding Bank Holiday?

[Whit Armstrong]

Is there a reason why the 'Royal Wedding Bank Holiday' is not an
Exchange holiday?

http://www.year-planner-calendar.wanadoo.co.uk/2011-public-holidays.htm

https://github.com/lballabio/quantlib/blob/master/QuantLib/ql/time/calendars/unitedkingdom.cpp#L120

I'm generating some historical discount curves for USDLibor swaps, and
I'm getting stuck here:
today: May 2nd, 2011
settlement: May 4th, 2011
fixingDate: April 29th, 2011
terminate called after throwing an instance of 'QuantLib::Error'
  what():  1st iteration: failed at 1st alive instrument, maturity May
4th, 2012, reference date May 4th, 2011: 2nd leg: Missing USDLibor3M
Actual/360 fixing for April 29th, 2011

I realize this could be due to other calendar issues, but QL seems to
be looking for a fixing on 29-April, which both bbg and the website
referenced earlier indicate was a holiday.

(small code to reproduce below)

-Whit


#include <iostream>
#include <vector>
#include <ql/quantlib.hpp>
using namespace QuantLib;

int main() {
    Date todaysDate(2, May, 2011);
    Settings::instance().evaluationDate() = todaysDate;

    Integer fixingDays = 2;
    Calendar usuk_calendar =
JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),

UnitedStates(UnitedStates::Settlement),
                                           JoinHolidays);

    Date settlementDate = usuk_calendar.advance(todaysDate, fixingDays, Days);
    settlementDate = usuk_calendar.adjust(settlementDate);

    Frequency swFixedLegFrequency = Semiannual;
    BusinessDayConvention swFixedLegConvention = ModifiedFollowing;
    DayCounter swFixedLegDayCounter = Thirty360(Thirty360::USA);
    boost::shared_ptr<IborIndex> swFloatingLegIndex(new
USDLibor(Period(3, Months)));
    double tolerance = 1.0e-15;

    Rate s2y = 0.037125;
    boost::shared_ptr<Quote> s2yRate(new SimpleQuote(s2y));
    boost::shared_ptr<SwapRateHelper> helper(new
SwapRateHelper(Handle<Quote>(s2yRate),
                                                                2*Years,
                                                                usuk_calendar,

swFixedLegFrequency,

swFixedLegConvention,

swFixedLegDayCounter,

swFloatingLegIndex));
    std::cout << "today: " << todaysDate << std::endl;
    std::cout << "settlement: " << settlementDate << std::endl;
    std::cout << "fixingDate: " <<
swFloatingLegIndex->fixingDate(settlementDate) << std::endl;

    swFloatingLegIndex->addFixing(Date(28, April, 2011),.273/100);
    std::vector<boost::shared_ptr<RateHelper> > rateHelpers(1);
    rateHelpers[0] = helper;
    PiecewiseYieldCurve<Discount,LogLinear> yc(settlementDate,
rateHelpers,swFixedLegDayCounter,tolerance);
    yc.recalculate();
}

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[Luigi Ballabio]

Hi Whit,
    it wasn't an holiday because I didn't know and nobody told me so
far---thanks for the heads-up.
I've added it in the release branch and will be fixed in QuantLib 1.4
(out this month, I hope).

Luigi


On Thu, Feb 6, 2014 at 7:53 PM, Whit Armstrong <[hidden email]> wrote:

> Is there a reason why the 'Royal Wedding Bank Holiday' is not an
> Exchange holiday?
>
> http://www.year-planner-calendar.wanadoo.co.uk/2011-public-holidays.htm
>
> https://github.com/lballabio/quantlib/blob/master/QuantLib/ql/time/calendars/unitedkingdom.cpp#L120
>
> I'm generating some historical discount curves for USDLibor swaps, and
> I'm getting stuck here:
> today: May 2nd, 2011
> settlement: May 4th, 2011
> fixingDate: April 29th, 2011
> terminate called after throwing an instance of 'QuantLib::Error'
>   what():  1st iteration: failed at 1st alive instrument, maturity May
> 4th, 2012, reference date May 4th, 2011: 2nd leg: Missing USDLibor3M
> Actual/360 fixing for April 29th, 2011
>
> I realize this could be due to other calendar issues, but QL seems to
> be looking for a fixing on 29-April, which both bbg and the website
> referenced earlier indicate was a holiday.
>
> (small code to reproduce below)
>
> -Whit
>
>
> #include <iostream>
> #include <vector>
> #include <ql/quantlib.hpp>
> using namespace QuantLib;
>
> int main() {
>     Date todaysDate(2, May, 2011);
>     Settings::instance().evaluationDate() = todaysDate;
>
>     Integer fixingDays = 2;
>     Calendar usuk_calendar =
> JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),
>
> UnitedStates(UnitedStates::Settlement),
>                                            JoinHolidays);
>
>     Date settlementDate = usuk_calendar.advance(todaysDate, fixingDays, Days);
>     settlementDate = usuk_calendar.adjust(settlementDate);
>
>     Frequency swFixedLegFrequency = Semiannual;
>     BusinessDayConvention swFixedLegConvention = ModifiedFollowing;
>     DayCounter swFixedLegDayCounter = Thirty360(Thirty360::USA);
>     boost::shared_ptr<IborIndex> swFloatingLegIndex(new
> USDLibor(Period(3, Months)));
>     double tolerance = 1.0e-15;
>
>     Rate s2y = 0.037125;
>     boost::shared_ptr<Quote> s2yRate(new SimpleQuote(s2y));
>     boost::shared_ptr<SwapRateHelper> helper(new
> SwapRateHelper(Handle<Quote>(s2yRate),
>                                                                 2*Years,
>                                                                 usuk_calendar,
>
> swFixedLegFrequency,
>
> swFixedLegConvention,
>
> swFixedLegDayCounter,
>
> swFloatingLegIndex));
>     std::cout << "today: " << todaysDate << std::endl;
>     std::cout << "settlement: " << settlementDate << std::endl;
>     std::cout << "fixingDate: " <<
> swFloatingLegIndex->fixingDate(settlementDate) << std::endl;
>
>     swFloatingLegIndex->addFixing(Date(28, April, 2011),.273/100);
>     std::vector<boost::shared_ptr<RateHelper> > rateHelpers(1);
>     rateHelpers[0] = helper;
>     PiecewiseYieldCurve<Discount,LogLinear> yc(settlementDate,
> rateHelpers,swFixedLegDayCounter,tolerance);
>     yc.recalculate();
> }
>
> ------------------------------------------------------------------------------
> Managing the Performance of Cloud-Based Applications
> Take advantage of what the Cloud has to offer - Avoid Common Pitfalls.
> Read the Whitepaper.
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--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

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