how to get the settlement day?

[Le Shi]

Hi guys,

 

Right now, I have the bond trade date( for example, today ). How could I get the bond settlement date? Let’s say settlement days =3.

 

Does Quantlib has some API to add days depending on business schedule?

 

Thank you all!

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[Cedrick W. Johnson]

Take a look at the samples, in particular Bonds.cpp:

Calendar calendar = TARGET();

         Date settlementDate(18, September, 2008);
         // must be a business day
         settlementDate = calendar.adjust(settlementDate);

         Integer fixingDays = 3;
         Natural settlementDays = 3;

         Date todaysDate = calendar.advance(settlementDate, -fixingDays, Days);

Also the Calendar class under ql/time/Calendar may be of assistance in specifying local holidays, etc.

HTH,
C



On 12/10/2010 03:53 PM, Le Shi wrote:

>
> Hi guys,
>
> Right now, I have the bond trade date( for example, today ). How could
> I get the bond settlement date? Let’s say settlement days =3.
>
> Does Quantlib has some API to add days depending on business schedule?
>
> Thank you all!
>
>
> ------------------------------------------------------------------------------
> Oracle to DB2 Conversion Guide: Learn learn about native support for PL/SQL,
> new data types, scalar functions, improved concurrency, built-in packages,
> OCI, SQL*Plus, data movement tools, best practices and more.
> http://p.sf.net/sfu/oracle-sfdev2dev
>
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

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[Luigi Ballabio]

On Mon, 2010-12-13 at 05:15 -0500, Johnson, Cedrick W. wrote:

> Take a look at the samples, in particular Bonds.cpp:
>
> Calendar calendar = TARGET();
>
>          Date settlementDate(18, September, 2008);
>          // must be a business day
>          settlementDate = calendar.adjust(settlementDate);
>
>          Integer fixingDays = 3;
>          Natural settlementDays = 3;
>
>          Date todaysDate = calendar.advance(settlementDate, -fixingDays, Days);
>

But in your case, you might want it backwards:

Date settlementDate = calendar.advance(tradeDate, settlementDays, Days);

or, if you instantiated the bond already, just call

bond.settlementDate(tradeDate);


Luigi



--

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new data types, scalar functions, improved concurrency, built-in packages,
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