fixing date problem

[Grison PG Pierre (External DEXIA-US)]

Hello,

 

I think

 

    inline Date InterestRateIndex::valueDate(const Date& fixingDate) const {

        QL_REQUIRE(isValidFixingDate(fixingDate),

                   fixingDate << " is not a valid fixing date");

        return fixingCalendar().advance(fixingDate, fixingDays_, Days);

    }

 

Is wrong. It does not really advance the value date of the right number of working days. For instance, if you are Friday, 1, 2 or 3 fixing days will give the same result but if you are as of Friday, O/N, T/N or S/N rates have not the same value. Am I correct?

 

Pierre

 

 

Pierre Grison
VIE
Trading & Structuring
DCLNY
445 Park Ave. - 8th Floor
New York, NY 10022
Tel: [phone] Fax:
Email: [hidden email]

 

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[vermosen.jm]

Hi Pierre,

In this case, Calendar().advance() iterates only on business days as defined within the calendar. Hence, there should be no difference with the O/N, T/N, S/N period identifiers.

the relevant piece of code in the calendar.cpp file is the following:

    Date Calendar::advance(const Date& d,
                           Integer n, TimeUnit unit,
                           BusinessDayConvention c,
                           bool endOfMonth) const {
        QL_REQUIRE(d!=Date(), "null date");
        if (n == 0) {
            return adjust(d,c);
        } else if (unit == Days) {
            Date d1 = d;
            if (n > 0) {
                while (n > 0) {
                    d1++;
                    while (isHoliday(d1))   // !!!
                        d1++;
                    n--;
                }
    ...

Cordialement,

Jean-Mathieu Vermosen

----- Mail d'origine -----
De: Grison PG Pierre (External DEXIA-US) <[hidden email]>
À: [hidden email]
Envoyé: Mon, 24 Nov 2014 22:53:29 +0100 (CET)
Objet: [Quantlib-users] fixing date problem

Hello,

I think

    inline Date InterestRateIndex::valueDate(const Date& fixingDate) const {
        QL_REQUIRE(isValidFixingDate(fixingDate),
                   fixingDate << " is not a valid fixing date");
        return fixingCalendar().advance(fixingDate, fixingDays_, Days);
    }

Is wrong. It does not really advance the value date of the right number of working days. For instance, if you are Friday, 1, 2 or 3 fixing days will give the same result but if you are as of Friday, O/N, T/N or S/N rates have not the same value. Am I correct?

Pierre


Pierre Grison
VIE
Trading & Structuring
DCLNY
445 Park Ave. - 8th Floor
New York, NY 10022
Tel: [phone] Fax:
Email: [hidden email]
[cid:image001.jpg@01D00807.2BF11EC0]


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Get technology previously reserved for billion-dollar corporations, FREE
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[hidden email]
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