Bugs item #1508489, was opened at 2006-06-19 11:29
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
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
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Comment By: Luigi Ballabio (lballabio)
Date: 2006-07-12 17:07
Message:
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The bug is now fixed in CVS.
Thank you for the report.
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