USD ASW curve and USD Libor calendars
Posted by
andrea.palermo on
Apr 01, 2016; 10:10am
URL: http://quantlib.414.s1.nabble.com/USD-ASW-curve-and-USD-Libor-calendars-tp17380.html
Hello,
I had the following problem: on Thursday, March 24th the USD Asset Swap were not calculated because quantlib due to:
1st iteration: failed at 5th alive instrument, maturity March 28th, 2018, reference date March 28th, 2016: 2nd leg: Missing USDLibor6M Actual/360 fixing for March 23rd, 2016
I suppose that the cause is that curve points are configured by us with US Settlement calendar (where Easter Monday is not holyday), whilst in the quantlib code correctly swap's underlying USD Libor 3M has calendar UK (where Easter Monday is holyday).
A possible solution would be to configure curve points using a merged calendar US+UK, but this would lead to the impossibility to calculate ASW in the US holidays.
Did any of you experience the same issue and could suggest a better solution?
Thanks in advance,
Andrea
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