Bugs item #1173431, was opened at 2005-03-30 18:12
Message generated for change (Comment added) made by lballabio
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Status: Open
Resolution: None
Priority: 5
Submitted By: Daniele De Francesco (qq7te)
>Assigned to: Luigi Ballabio (lballabio)
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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>Comment By: Luigi Ballabio (lballabio)
Date: 2005-04-01 12:54
Message:
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Daniele,
I think you're right. Is there any other Libor in the
library whose calendar should be fixed?
Luigi
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