Re: joint calendar

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/joint-calendar-tp2345p2348.html

At 08:35 AM 1/27/03 +0000, Chak Jack Wong wrote:
>The behavior in Jens' e-mail is exactly what we need.  This is mainly used
>for cross-ccy swap.  for USD and Yen swap on Libor , the holiday is typically
>NewYork, London and Tokyo (i.e. union of holiday.), and for quite a lot of
>swiss product, we use Zurich/London.   This is rather important (yet pretty
>simple)

Ok, so the relation is:

joint.isBusinessDay(d) <= c1.isBusinessDay(d) && c2.isBusinessDay(d)

Does anybody think we might need the same thing but with || instead of && ?

Also, I see that one might need more than two calendars. Is three the
maximum anybody saw, or did anybody used more complex stuff?


>Is it possible to add this simple class to the 0.3.1 release?

Not to 0.3.1, sorry---it is already frozen. I can send you the files (once
I have them, of course) if you have problems accessing the CVS version.

Later,
         Luigi