day count bug - QuantLib.UnitedStates(UnitedStates.Market.NYSE)

[KIB]

A possible bug -

This calendar
QuantLib.UnitedStates(UnitedStates.Market.NYSE)

reports 2 Jan 2007 as a business day,
while Bloomberg reports it as holiday ( president Ford funeral). This affects the results of related functions, such as Calendar.advance()

KIB

[Luigi Ballabio]

On Wed, 2008-02-13 at 04:06 -0800, KIB wrote:
> This calendar
> QuantLib.UnitedStates(UnitedStates.Market.NYSE)
>
> reports 2 Jan 2007 as a business day,
> while Bloomberg reports it as holiday ( president Ford funeral).

Thanks for the info. Is it for 2007 only?

Luigi


--

A programming language is low-level when its programs require attention
to the irrelevant.
-- Alan Perlis



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[Dirk Eddelbuettel]

On Wed, Feb 13, 2008 at 01:22:26PM +0100, Luigi Ballabio wrote:
> On Wed, 2008-02-13 at 04:06 -0800, KIB wrote:
> > This calendar
> > QuantLib.UnitedStates(UnitedStates.Market.NYSE)
> >
> > reports 2 Jan 2007 as a business day,
> > while Bloomberg reports it as holiday ( president Ford funeral).
>
> Thanks for the info. Is it for 2007 only?

Yes, it was a one-off due to the death of a former president and
marked an unprecedented series of closes: Dec 30 + 31 were a weekend,
Jan 1 New Year and then Jan 2 for the presidential funeral.

Dirk

--
Three out of two people have difficulties with fractions.

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[Luigi Ballabio]

On Wed, 2008-02-13 at 04:06 -0800, KIB wrote:
> This calendar
> QuantLib.UnitedStates(UnitedStates.Market.NYSE)
>
> reports 2 Jan 2007 as a business day,
> while Bloomberg reports it as holiday ( president Ford funeral).

Ok, it's fixed now---thanks for the heads-up.

Also, <http://www.nyse.com/pdfs/closings.pdf> lists all such one-off
holidays.  If you or anyone else wanted to check that we're not missing
some other closing days, I'd be grateful.

Luigi


--

Prediction is very difficult, especially if it's about the future.
-- Niels Bohr



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