Bugs item #1173431, was opened at 2005-03-30 11:12
Message generated for change (Comment added) made by qq7te
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https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1173431&group_id=12740Category: None
Group: None
Status: Closed
Resolution: Fixed
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: Daniele De Francesco (qq7te)
Date: 2005-04-06 11:12
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I haven't looked in detail because we have been using
USDLibors, but If I will definitely alert you of anything
that seems suspicious... :-)
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Comment By: Luigi Ballabio (lballabio)
Date: 2005-04-01 10:03
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The bug is now fixed in CVS.
Thank you for the report.
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Comment By: Luigi Ballabio (lballabio)
Date: 2005-04-01 05:54
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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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