about calendars
Locked
 
|
Hi guys,
I implemented an Option valuation procedure written in Java and I needed to calculate the working days. As I'm brazilian, I started with Brazilian calendar. In QuantLib, it is defined here http://quantlib.org/reference/class_quant_lib_1_1_brazil.html It is correct, except that BOVESPA (the brazilian exchange house) will be closed on these dates as well: 25-January : a municipal holiday 09-July : a state holiday My question is: Shouldn't we consider all dates when the exchange house will be closed? Thanks -- Richard Gomes ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
|
|
Hi Richard,
If you take a look at the US or UK calendar classes, there are examples of implementing more than one holiday schedule within the same financial location. In the case of UK (financial location), I believe there are settlement as well as Metals holiday rules. You can, if you wish, use this as an example for adding a new holiday schedule. Toy out. > To: [hidden email] > From: [hidden email] > Date: Sun, 2 Sep 2007 21:13:03 +0100 > Subject: [Quantlib-dev] about calendars > > Hi guys, > > I implemented an Option valuation procedure written in Java and I needed to > calculate the working days. As I'm brazilian, I started with Brazilian > calendar. > > In QuantLib, it is defined here > http://quantlib.org/reference/class_quant_lib_1_1_brazil.html > > It is correct, except that BOVESPA (the brazilian exchange house) will be > closed on these dates as well: > > 25-January : a municipal holiday > 09-July : a state holiday > > My question is: Shouldn't we consider all dates when the exchange house will > be closed? > > Thanks > > -- > Richard Gomes > > > ------------------------------------------------------------------------- > This SF.net email is sponsored by: Splunk Inc. > Still grepping through log files to find problems? Stop. > Now Search log events and configuration files using AJAX and a browser. > Download your FREE copy of Splunk now >> http://get.splunk.com/ > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev The next generation of MSN Hotmail has arrived - Windows Live Hotmail ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
|
|
In reply to this post by Richard Gomes
Hi Richard,
If you take a look at the US or UK calendar classes, there are examples of implementing more than one holiday schedule within the same financial location. In the case of UK (financial location), I believe there are settlement as well as Metals holiday rules. You can, if you wish, use this as an example for adding a new holiday schedule. Toy out. > To: [hidden email] > From: [hidden email] > Date: Sun, 2 Sep 2007 21:13:03 +0100 > Subject: [Quantlib-dev] about calendars > > Hi guys, > > I implemented an Option valuation procedure written in Java and I needed to > calculate the working days. As I'm brazilian, I started with Brazilian > calendar. > > In QuantLib, it is defined here > http://quantlib.org/reference/class_quant_lib_1_1_brazil.html > > It is correct, except that BOVESPA (the brazilian exchange house) will be > closed on these dates as well: > > 25-January : a municipal holiday > 09-July : a state holiday > > My question is: Shouldn't we consider all dates when the exchange house will > be closed? > > Thanks > > -- > Richard Gomes > > > ------------------------------------------------------------------------- > This SF.net email is sponsored by: Splunk Inc. > Still grepping through log files to find problems? Stop. > Now Search log events and configuration files using AJAX and a browser. > Download your FREE copy of Splunk now >> http://get.splunk.com/ > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev Are you the Quizmaster? Play BrainBattle with a friend now! ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
|
|
On Mon, 2007-09-03 at 12:57 +0100, Toyin Akin wrote:
> If you take a look at the US or UK calendar classes, there are > examples of implementing more than one holiday schedule within the > same financial location. Right. In your case, there would be Brazil::BACEN and Brazil::BACESPA calendars. > You can, if you wish, use this as an example for adding a new holiday > schedule. And of course, we'll be happy to add your patch to the library if you were to contribute it. Later, Luigi -- Do the right thing. It will gratify some people and astonish the rest. -- Mark Twain ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
|
|
Luigi Ballabio wrote:
> On Mon, 2007-09-03 at 12:57 +0100, Toyin Akin wrote: >> If you take a look at the US or UK calendar classes, there are >> examples of implementing more than one holiday schedule within the >> same financial location. > > Right. In your case, there would be Brazil::BACEN and Brazil::BACESPA > calendars. > >> You can, if you wish, use this as an example for adding a new holiday >> schedule. > > And of course, we'll be happy to add your patch to the library if you > were to contribute it. > > Later, > Luigi > > I'll be proud to contribute. Thanks Richard ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
«
Return to quantlib-dev
|
1 view|%1 views
| Free forum by Nabble | Edit this page |