O-o-ok. Then I suppose it’s only by accident that my Eonia curve (built without deposits) did bootstrap…
In fact we would have been a bit “hard-pressed” (if our QuantLibXL sheets were already running in production!) because this Good Friday also happened
to be the last working day of the month, when mark-to-market evaluations of all open transactions must be written on the accounting books. But I see that won’t happen again until 2018, so let’s defer this matter until then (and then I’ll make sure to be on
vacation on that day) ;-)))
Ciao
Gerardo
Da: [hidden email] [mailto:[hidden email]]
Per conto di Ferdinando Ametrano
Inviato: mercoledì 3 aprile 2013 17.09
A: Ballabio Gerardo
Cc: Ibbotson, Simon; quantlib-users; Prandoni Paolo
Oggetto: Re: [Quantlib-users] R: yield curves fail on holiday
On Wed, Apr 3, 2013 at 2:35 PM, Ballabio Gerardo <[hidden email]> wrote:
even if the market is closed, I should be able to calculate theoretical market values on my rate curve. Is that wrong?
yes, that's plain wrong in my book.
You should and could calculate NPVs using the last good business day (lgbd) as evaluation date. Or (more tricky but feasible) the next good business day.
In both cases you would be using the lgbd's market data, so I would suggest to go for the lgbd.
It does make very little sense to 'mark-to-market' a portfolio to a non-existent market, such as a Good Friday market.
Anyway if hard-pressed to come up with sensible values the proper way in my opinion would be to bootstrap the curves as per the lgbd, then use the qlImpliedTermStructure class/function in
order to obtain a curve which has discount factor 1.0 at Good Friday. This way you would be using the forward implied curve for Good Friday as seen from the lgbd.
Last but not least on Good Friday you should be on holiday, but don't get me started on why oh why a Christian Holiday is not a public holiday in a supposedly Catholic country ;-)
ciao -- Nando
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