Stripping a YieldCurve with day tenor formats...

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Business-252-test-suite-tp5070p5072.html

Hi all,

I'm trying to strip a yieldcurve with day tenor formats (ie - 9D for 9
days).

I expected this to be 9 calendar days forward with an adjustment on the 9th
date.
However quantlib performs 9 market days forward.

The reason I find using the day tenor format useful is in the case where we
have both deposits and futures within the curve and we do not want deposits
to overlap futures (ie - no deposit end date must exceed the first futures
contract as we regard the futures contract more liquid.).

Thus I remove all the deposit instruments that exceed the first futures
date, however one may find an undefined gap in the curve between the last
deposit instrument remaining and the first futures contract. I thus add a
deposit contract starting from spot up to the first futures contract and the
rate is taken as an interpolation of the original deposit rates.

In my case, I currently have a deposit tenor of 153D, but quantlib will
interpret this as market days and not calendar days. In fact it looks like
the logic within the advance() method of the calendar class always
interprets the day tenor as market days.

Is it possible to have a calendar days movement option with a final
adjustment like the Week, Month, Year tenor cases?

Thanks in advance,
Toyin Akin.