USD ASW curve and USD Libor calendars

[andrea.palermo]

Hello,

I had the following problem: on Thursday, March 24th the USD Asset Swap were not calculated because quantlib due to:

1st iteration: failed at 5th alive instrument, maturity March 28th, 2018, reference date March 28th, 2016: 2nd leg: Missing USDLibor6M Actual/360 fixing for March 23rd, 2016

I suppose that the cause is that curve points are configured by us with US Settlement calendar (where Easter Monday is not holyday), whilst in the quantlib code correctly swap's underlying USD Libor 3M has calendar UK (where Easter Monday is holyday).

A possible solution would be to configure curve points using a merged calendar US+UK, but this would lead to the impossibility to calculate ASW in the US holidays.

Did any of you experience the same issue and could suggest a better solution?

Thanks in advance,

Andrea

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[Peter Caspers-4]

Hi Andrea,

we had many discussions how to handle this situation. The issue should have been resolved by commit 80848d06 (i.e. in Release 1.5) by advancing the trading date of the curve instrument in question to the next valid date.

Are you using 1.5 or above ? Then we’d have to revisit this.

Regards

Peter

Am 01.04.2016 um 12:52 schrieb [hidden email]:

Hello,

I had the following problem: on Thursday, March 24th the USD Asset Swap were not calculated because quantlib due to:

1st iteration: failed at 5th alive instrument, maturity March 28th, 2018, reference date March 28th, 2016: 2nd leg: Missing USDLibor6M Actual/360 fixing for March 23rd, 2016

I suppose that the cause is that curve points are configured by us with US Settlement calendar (where Easter Monday is not holyday), whilst in the quantlib code correctly swap's underlying USD Libor 3M has calendar UK (where Easter Monday is holyday).

A possible solution would be to configure curve points using a merged calendar US+UK, but this would lead to the impossibility to calculate ASW in the US holidays.

Did any of you experience the same issue and could suggest a better solution?

Thanks in advance,

Andrea

--

**************************************************
Andrea Palermo
Product Manager
[hidden email]

<solutions_img.png>

Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: [phone]
Fax: [phone]
http://www.softsolutions.it

Follow us on LinkedIn and Twitter

**************************************************

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[andrea.palermo]

Hi Peter,

Thank you very much for your reply.

We have to upgrade quantlib library because we are using the 1.4.5 version.

Kind regards,

Andrea

---

Da: "Peter Caspers" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: [hidden email]
Inviato: Venerdì, 1 aprile 2016 13:42:22
Oggetto: Re: [Quantlib-users] USD ASW curve and USD Libor calendars

Hi Andrea,

we had many discussions how to handle this situation. The issue should have been resolved by commit 80848d06 (i.e. in Release 1.5) by advancing the trading date of the curve instrument in question to the next valid date.

Are you using 1.5 or above ? Then we’d have to revisit this.

Regards

Peter

Am 01.04.2016 um 12:52 schrieb [hidden email]:

Hello,

I had the following problem: on Thursday, March 24th the USD Asset Swap were not calculated because quantlib due to:

1st iteration: failed at 5th alive instrument, maturity March 28th, 2018, reference date March 28th, 2016: 2nd leg: Missing USDLibor6M Actual/360 fixing for March 23rd, 2016

I suppose that the cause is that curve points are configured by us with US Settlement calendar (where Easter Monday is not holyday), whilst in the quantlib code correctly swap's underlying USD Libor 3M has calendar UK (where Easter Monday is holyday).

A possible solution would be to configure curve points using a merged calendar US+UK, but this would lead to the impossibility to calculate ASW in the US holidays.

Did any of you experience the same issue and could suggest a better solution?

Thanks in advance,

Andrea

--

**************************************************
Andrea Palermo
Product Manager
[hidden email]

<solutions_img.png>

Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: [phone]
Fax: [phone]
http://www.softsolutions.it

Follow us on LinkedIn and Twitter

**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at [hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through its internal and external networks.

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

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Andrea Palermo

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