Bugs item #1177912, was opened at 2005-04-06 12:31
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https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1177912&group_id=12740Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Daniele De Francesco (qq7te)
Assigned to: Nobody/Anonymous (nobody)
Summary: More Calendar problems on all Libors
Initial Comment:
After looking for a proper definition of how the Libor
fixing works,
I have finally found an authoritative source:
http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412It seems that any calendar we pick will be wrong.
Their method for determining the value date from the
fixing date is quite different from anything I've seen.
It's a strange combination of two calendars that is
explained fully in the above mentioned page.
Picking the London calendar for ALL the libors will be
a very good first-order approximation that will make
all the libor classes much more accurate.
Eventually a fix is needed to have an
"OddlyJoinedCalendar" or something like that :-)
I would fix it myself, but I will have to do it outside
of work because of my emplyment agreement, so it will
be a bit delayed. If anyone with access to CVS wants to
at least do a quick fix to move to London Calendar that
would be a great first step
-Daniele
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