On Fri, 2011-08-26 at 09:28 -0700, rob.philipp wrote:
> It appears that the USD Libor Index sets an UnitedStates(
> UnitedStates::Settlement ) calendar for the fixing calendar, only to have
> the Libor index class over write that Calendar with a UnitedKingdom(
> UnitedKingdom::Exchange ) calendar for the fixings.
The USD Libor index takes the US calendar as an argument because both US
and UK are used. All Libors are fixed in London, with the primary
calendar being the UK one. For a given fixing date, the value date is
two business days later on the London calendar; if that day is a US
holiday, the value date moves forward to the earliest day which is a
business day for both calendars.
Unfortunately, that is _not_ the same as using the joint calendar
between US and UK, since the initial two-days shift is made only on
London and disregards the US calendar (for example, if today is the
fixing date and tomorrow is holiday in the US but not in the UK, the
value date will still be the day after tomorrow.) This prevents us from
returning the joint US/UK calendar as the fixing calendar; and since the
London calendar has a primary role, returning it is the next best thing.
What one should do is probably not use the fixing calendar directly, and
use the valueDate() and fixingDate methods instead.
Luigi
--
Reasonable people adapt themselves to the world. Unreasonable people
attempt to adapt the world to themselves. All progress, therefore,
depends on unreasonable people.
-- G.B. Shaw
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