Re: R: yield curves fail on holiday

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/yield-curves-fail-on-holiday-tp14181p14188.html

On Wed, Apr 3, 2013 at 5:30 PM, Ballabio Gerardo <[hidden email]> wrote:

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.

I don't want to sound picky, you could try to enlighten your bank that the last working day of the month has been Thursday March 28th for European banks.

:-)

And I am pretty sure my bank and yours share the same Central Bank, don't we?

Last but not least I have seen also the practice for selecting the last liquid business day instead of Dec 31st for end-of-year purposes... 

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