fixing date problem

Posted by Grison PG Pierre (External DEXIA-US) on Nov 24, 2014; 9:48pm
URL: http://quantlib.414.s1.nabble.com/fixing-date-problem-tp16080.html

Hello,

 

I think

 

    inline Date InterestRateIndex::valueDate(const Date& fixingDate) const {

        QL_REQUIRE(isValidFixingDate(fixingDate),

                   fixingDate << " is not a valid fixing date");

        return fixingCalendar().advance(fixingDate, fixingDays_, Days);

    }

 

Is wrong. It does not really advance the value date of the right number of working days. For instance, if you are Friday, 1, 2 or 3 fixing days will give the same result but if you are as of Friday, O/N, T/N or S/N rates have not the same value. Am I correct?

 

Pierre

 

 

Pierre Grison
VIE
Trading & Structuring
DCLNY
445 Park Ave. - 8th Floor
New York, NY 10022
Tel: [phone] Fax:
Email: [hidden email]

 

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