Yes that bond is such case.
Sent from my android device.
-----Original Message-----
From: Peter Caspers <[hidden email]>
To: lucy king <[hidden email]>
Cc: Francois Botha <[hidden email]>, Luigi Ballabio <[hidden email]>, QuantLib users <[hidden email]>, Cheng Li <[hidden email]>
Sent: Fri, 06 Mar 2015 12:06 AM
Subject: Re: [Quantlib-users] 答复: Bussiness day conventionwould KR<a href="tel:103502" target="_blank">103502G495 be such a bond for example ?
Peter
On 5 March <a href="tel:2015" target="_blank">2015 at 12:54, Peter Caspers <[hidden email]> wrote:
> do you have an ISIN or CUSIP code for the example you gave ?
> Peter
>
> On 5 March <a href="tel:2015" target="_blank">2015 at 12:38, lucy king <[hidden email]> wrote:
>> It rarely happens, as the coupon dates for all bonds of this country is
>> limited to certain dates. I notice it happened in <a href="tel:2022" target="_blank">2022 Sep 10, a Sat, 9th
>> was public holiday, coupon is scheduled to be paid on 12th, next good
>> business day.
>>
>>
>>
>> From: Francois Botha [mailto:[hidden email]]
>> Sent: Thursday, 5 March <a href="tel:20157" target="_blank">2015 7:24 PM
>> To: lucy king
>> Cc: Luigi Ballabio; Peter Caspers; QuantLib users; Cheng Li
>> Subject: Re: [Quantlib-users] 答复: Bussiness day convention
>>
>>
>>
>> How is the payment date adjusted if the original date is the middle of three
>> non business days? Would one default to following or preceding business day?
>>
>> On 05 Mar <a href="tel:20151" target="_blank">2015 1:14 PM, "lucy king" <[hidden email]> wrote:
>>
>> Hi all,
>>
>> Thank you for all for your inputs. Ideally I could find a clean solution.
>> Never tried developing its library, do you mean I need to change at
>> quantlib code level? Then how could I apply it in excel?
>>
>> Below is one example for such business day convention.
>>
>> Korea 20y govt bond.
>> Type Fixed
>> Cpn Freq S/A
>> Day Cnt ACT/ACT
>> Maturity 12/10/2033
>> BULLET
>> Announcement Date 11/28/2013
>> Interest Accrual Date 12/10/2013
>> 1st Settle Date 12/24/2013
>> 1st Coupon Date 06/10/2014
>>
>> Below are payments dates for this bond:
>> 10/6/2015
>> 10/12/2015
>> 10/6/2016
>> 9/12/2016
>> 9/6/2017
>> 11/12/2017
>> 11/6/2018
>> 10/12/2018
>> 10/6/2019
>> 10/12/2019
>> 10/6/2020
>> 10/12/2020
>> 10/6/2021
>> 10/12/2021
>> 10/6/2022
>> 9/12/2022
>> 9/6/2023
>> 11/12/2023
>> 10/6/2024
>> 10/12/2024
>> 10/6/2025
>> 10/12/2025
>> 10/6/2026
>> 10/12/2026
>> 10/6/2027
>> 10/12/2027
>> 9/6/2028
>> 11/12/2028
>> 11/6/2029
>> 10/12/2029
>> 10/6/2030
>> 10/12/2030
>> 10/6/2031
>> 10/12/2031
>> 10/6/2032
>> 10/12/2032
>> 10/6/2033
>> 9/12/2033
>>
>> Best regards,
>> Laura
>>
>> -----Original Message-----
>> From: Peter Caspers [mailto:[hidden email]]
>> Sent: Thursday, 5 March <a href="tel:20155" target="_blank">2015 5:48 PM
>> To: Luigi Ballabio
>> Cc: Cheng Li; QuantLib users
>> Subject: Re: [Quantlib-users] 答复: Bussiness day convention
>>
>> Hi Laura,
>> do you have a term sheet for that bond you could send or some reference to
>> an official documentation for that rolling convention ?
>> Just out of curiosity (and as a basis for a possible later implementation in
>> ql of course ...) Peter
>>
>> On 5 March <a href="tel:2015" target="_blank">2015 at 09:35, Luigi Ballabio <[hidden email]> wrote:
>>> The weekday number is probably not enough if there's holidays close to
>>> the weekend. You'll have to calculate the following and preceding
>>> business day and check which is the closest.
>>>
>>> This is not pluggable directly in a function that takes a convention,
>>> though. It needs some development on the library side.
>>>
>>> Luigi
>>>
>>>
>>> On Thu, Mar 5, <a href="tel:2015" target="_blank">2015 at 3:21 AM, Cheng Li <[hidden email]>
>>> wrote:
>>>>
>>>> Hi Laura,
>>>>
>>>> I think there is no direct way to do this in QL yet.
>>>>
>>>> To work around, you can use Execl's weekday function to get the exact
>>>> weekday number of that particular date. Then use if block to switch
>>>> between Following or Preceding convention in qlcalendaradjust
>>>> function.
>>>>
>>>> Regards,
>>>> Cheng
>>>>
>>>> -----邮件原件-----
>>>> 发件人: seawater [mailto:[hidden email]]
>>>> 发送时间: <a href="tel:2015" target="_blank">2015年3月5日 8:35
>>>> 收件人: [hidden email]
>>>> 主题: [Quantlib-users] Bussiness day convention
>>>>
>>>> Hi,
>>>>
>>>> For certain country bonds, the payments are scheduled to be Nearest
>>>> business day. Quantlib excel currently supports F, MF, P,MP etc. I
>>>> couldn't find a matching one for paying one day before if it falls on
>>>> Sat and one day after if it falls on Sun. Could anyone help out
>>>> please?
>>>>
>>>> Thank you in advance!
>>>> Regards,
>>>> Laura
>>>>
>>>>
>>>>
>>>> --
>>>> View this message in context:
>>>> http://quantlib.10058.n7.nabble.com/Bussiness-day-convention-tp16303.
>>>> html Sent from the quantlib-users mailing list archive at Nabble.com.
>>>>
>>>>
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