Re: error xibormanager.cpp:55: dummy6m act/act (ISDA) history not loaded

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/error-xibormanager-cpp-55-dummy6m-act-act-ISDA-history-not-loaded-tp3359p3360.html

On 2004.10.01 12:55, [hidden email] wrote:
> I'm using Quantlib 0.3.7 and in the example swapvaluation.cpp I set:
>
> Calendar calendar = Tokyo();
>  Date todaysDate(20, September, 2004);
>  Date settlementDate(22, September, 2004);
>
> The 20, September, 2004 is not a business for the calendar tokyo

Which means that with fixingDays = 2, the floating-rate coupon starting  
at Sep 22, 2004 depends on the Libor fixing at Sep. 17, 2004--hence the  
error.

> Do you know how this error can be avoided keeping the same
> todaysDate(20,September, 2004); and  Date settlementDate(22,  
> September, 2004);?

Create a history with the correct fixing for Date(17,9,2004) and load  
it into XiborManager.

Hope this helps,
                Luigi