Bugs item #1173431, was opened at 2005-03-30 11:12
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You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1173431&group_id=12740Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Daniele De Francesco (qq7te)
Assigned to: Nobody/Anonymous (nobody)
Summary: wrong calendar for USDLibor
Initial Comment:
I have noticed that the USDLibor class, even in QL
0.3.8, has UnitedStates::Exchange as the calendar.
I do believe that the correct calendar is the
UK::Exchange since the fixing happens in London and you
can see that the index is computed on thanksgiving,
labour day and so on, which I think is proof that it's
not on any US calendar.
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