Re: ParCoupon and Calendar problem

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Subclassing-the-RateHelper-in-Python-tp4133p4137.html

On 10/14/2005 05:38:40 PM, Siddharth Sharma wrote:
> Hello, all.
> I have the following funny situation which I don't
> know how to fix. I am building a par curve using a
> combination of depos and swaps. For the swaps, I am
> using a convention of Unadjusted on both the fixed and
> the floating legs. However, this causes a problem when
> the swap maturity date is on a weekend.
> ...
> I'd like to know what's the best way to fix this.

Siddhart,
        I guess you could modify the ParCoupon so that it takes a  
business-day convention and uses it for adjustment.

Later,
        Luigi

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