Bugs item #1508489, was opened at 2006-06-19 02:29
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1508489&group_id=12740Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Indexes: ModifiedFollowing vs. MonthEndReference
Initial Comment:
"
Where a deposit is made on the final business day of
a particular calendar month, the maturity of the
deposit shall be on the final business day of the
month in which it matures (not the corresponding date
in the month of maturity). Or in other words, in line
with market convention, BBA LIBOR rates are dealt on
an end-end basis. For instance a one month deposit
for value 28th February would mature on 31st March,
not the 28th of March.
"
In all the Index subclasses the BusinessDayConvention
is set to ModifiedFollowing when, I believe, the
right setting would have to be MonthEndReference.
Ciao,
Nicola Chiarini
----------------------------------------------------------------------
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1508489&group_id=12740
Locked
