error xibormanager.cpp:55: dummy6m act/act (ISDA) history not loaded

[Xavier.Abulker]

Hello,
I'm using Quantlib 0.3.7 and in the example swapvaluation.cpp I set:

Calendar calendar = Tokyo();
 Date todaysDate(20, September, 2004);
 Date settlementDate(22, September, 2004);

The 20, September, 2004 is not a business for the calendar tokyo and I think this is why I receive the error:

" error xibormanager.cpp:55: dummy6m act/act (ISDA) history not loaded " in  NPV = spot5YearSwap.NPV();

Do you know how this error can be avoided keeping the same todaysDate(20, September, 2004); and  Date settlementDate(22, September, 2004);?

Thank you for your help

Xavier

[Luigi Ballabio-2]

On 2004.10.01 12:55, [hidden email] wrote:
> I'm using Quantlib 0.3.7 and in the example swapvaluation.cpp I set:
>
> Calendar calendar = Tokyo();
>  Date todaysDate(20, September, 2004);
>  Date settlementDate(22, September, 2004);
>
> The 20, September, 2004 is not a business for the calendar tokyo

Which means that with fixingDays = 2, the floating-rate coupon starting  
at Sep 22, 2004 depends on the Libor fixing at Sep. 17, 2004--hence the  
error.

> Do you know how this error can be avoided keeping the same
> todaysDate(20,September, 2004); and  Date settlementDate(22,  
> September, 2004);?

Create a history with the correct fixing for Date(17,9,2004) and load  
it into XiborManager.

Hope this helps,
                Luigi