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Re: [Quantlib-users] Re: new quantlib calendars

Posted by Xavier.Abulker on Apr 22, 2004; 3:02am
URL: http://quantlib.414.s1.nabble.com/Re-Quantlib-users-Re-new-quantlib-calendars-tp10575.html





Ferdinando,

a) not all holidays have been documented in the hpp file. This can be
easily fixed.

I understood from the hpp files that you only listed the days for which an
algorithm is available or the day is fixed.
I will try to list the other ones.

b) Lunar New Year, Tomb Sweeping, Dragon Boat, Mid-Autumn Festival,
Buddha's birthday, Harvest Moon, Tuen NG Festival, Chung Yeung fest, ecc
are provided for 2004, 2005, 2006. Is there an algorithm for calculating
them? If the algo is not easy shouldn't we tabulate them as we do for
Easter Monday?

Yes, there is one algorithm for the Lunar New Year but it looks very
complex.
Furthermore, the bank holidays for the Lunar new year are not the same for
HongKong,  Seoul  and Taiwan for example.
Buddha's birthday is not the same day for HongKong and Seoul in 2005 unless
there is an error on the derivatives exchange website.
Tomb Sweeping day should be celebrated two weeks after the vernal equinox,
for this one the algorithm is certainly available but we need to check the
dates with the algorithm and I don't have enough time to do that.
This is a good idea to tabulate them as easter monday.
For the other ones I don't know and the informations I got from the
derivatives exchange don't go farther than 2006 because it is linked to the
settlement days of Futures products

c) Honk Kong calendar: you list "Day after Good Friday", but since this is
a Saturday it shouldn't be listed as a separate holiday. Am I wrong?

You're rigth, day after Godd Friday is redundant, this is listed by the
HongKong exchange for 2004 (not in 2005) this is why I inserted it.

Xavier



                                                                                                                                   
                    Ferdinando Ametrano                                                                                            
                    <[hidden email]>                   To:     [hidden email], [hidden email]          
                    Sent by:                               cc:     [hidden email], QuantLib-users              
                    [hidden email]        <[hidden email]>                                
                    eforge.net                             Subject:     [Quantlib-users] Re: [Quantlib-dev] new quantlib calendars
                                                                                                                                   
                                                                                                                                   
                    21/04/2004 18:56                                                                                              
                                                                                                                                   
                                                                                                                                   




Xavier

thank you for the contribution.

In addition to Luigi's questions:
>1) is the copyright owned by you or FIMAT?
>2) in either case, can you get from FIMAT a statement that it's ok for
>them if you contribute code under the QuantLib license?
>3) is there any particular reason you don't name the official source
>for the calendar info? Otherwise, it'd be nice to put it in the docs.
a) not all holidays have been documented in the hpp file. This can be
easily fixed.
b) Lunar New Year, Tomb Sweeping, Dragon Boat, Mid-Autumn Festival,
Buddha's birthday, Harvest Moon, Tuen NG Festival, Chung Yeung fest, ecc
are provided for 2004, 2005, 2006. Is there an algorithm for calculating
them? If the algo is not easy shouldn't we tabulate them as we do for
Easter Monday?
c) Honk Kong calendar: you list "Day after Good Friday", but since this is
a Saturday it shouldn't be listed as a separate holiday. Am I wrong?

ciao -- Nando



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